I thank you all for your answers. To be honest, I wasn't sure to get replies as it doesn't seem to be a popular option..
Last summer I drove few times the 488 GTB of a friend. Its a wonderful machine. It had the CF kit, including the CF steering wheel. I personally loved the look. Also the resin covering the CF offered a fantastic grip (much more than any leather steering I ever had). When I visited my Porsche dealer, there was a car in the showroom that had a CF steering. It had the same grip and it looked great. The sales representative told me that it wasn't a popular option and he personally preferred leather.
Since I liked it allot and since it doesn't cost more on the GTS (if you opt for the multi fonction steering it comes to the same price as Alcantara or leather), I decided to take a chance and I ordered it. Should get my car this week. I don't think I will regret it.
Will give you my impressions after I drive it for few days. Thanks!