You can burn coal, yes, but once you add a chimney you're not getting 100% of the heat like you would by building a fire on your living room floor. It's an energy tradeoff vs dying of carbon monoxide poisoning. And I assume they're worse pollution-wise than a power plant.

I'm not sure what the efficiency on those is today. Article from 1980 [1] mentions 74% for a good quality stove, it's possible they've improved, but I doubt there's been as much development work on coal burning stoves as there has for gas fired furnaces.

[1] https://www.csmonitor.com/1980/1112/111256.html