Do you like the feel of the unfinished wood, or do you dislike the feel of glossy lacquer? The intermediate option is to lightly sand your neck, but without actually sanding through the finish. This will break up the surface, meaning that your hand won't stick to the neck as easily.
As for the neck moving around a bunch after you sand it bare, it partially depends on the type of wood you have. Mahogany is generally hit with pore filler before it's finished, so if you sand or strip to where there's no paint left, there's still pore filler in the wood. Maple isn't that porous; you can hit it with tung oil or lindseed oil to help protect it, but the wood will shift with the temperature and humidity whether there's a finish on it or not.
Either way, if the smoothness of a finished neck bothers you, I'd take it to 800 grit and see how you like it. 2000 grit is REALLY fine, nearly as fine as the polish on a painted neck.