I imagine the carbon monoxide would escape through an installed chimney.
We had a coal central heating system for the apartment building we owned in Chicago, it was a steam radiator system. Sucked. Too hot in some areas, cold in others. The coal was a mess to deal with. Initially my poor dad had to go down every couple of hours and shovel coal into the boiler like on the friggin Titanic. Later we got a stoker that did that automatically, once of course you filled it. Then you had to clean out the boiler of the “clinkers”, the residue from the coal. No thanks.