To the main point: What's peculiar about coal? I can see reasons why insurers might want to avoid or limit exposure to a particular class of risk. But what makes "coal" into a class of risk, in insurance terms? Why is coal a different class of risk than, say, mining or construction, which seem similar to me as naïve layman?
Whether insurers are reducing or avoiding this risk doesn't matter for this question.
Insurance only works when a percentage of people put in claims, so house fires across a nation are mostly uncorrelated.
But if there's something that could affect every house and burn them all down at once, then insurance wouldn't really be an appropriate way to hedge that risk.
In this case, a coal plant needs to run fairly continuously for decades to be profitable. The risk is a combination of policy and ever cheaper renewables making coal economically unviable.
The term usually used is the risk of becoming a stranded asset.