I am wondering about this. About the superstition on this I cannot find anything. But as coal is basically carbon, and diamonds are carbon, I would surmise that coal has the same "properties" as diamonds.
Just musing, Seeing that coal was mined in very poor conditions earlier centuries in Wales, Ireland, Scotland and England, with a lot of accidents happening, giving coal as a house warming present might be a wish for prosperity, protection and may your hearth never lack of heat (fire) in the winter.
Any other ideas?