Do a search on here, this has been discussed many times.
ANY Appliance burning Fuel Creates Carbon Monoxide. Natural Gas, Oil, Propane, Coal, etc....
If you have a poor draft chimney, a blockage, a severe wind, etc.. can reverse the flow in ANY chimney. It's not just COAL, I think because most coal burners have a BARO damper to regulate the draft on the stove (which most other units do not) that the fumes can possible leak out under the above circumstances, you have the chance of CO.
We have been running ours for over 3 years (one power vent) and one on the chimney and have not had any problems (knock on wood) with any of the CO detectors going off except if you open the door too long.
Most people have their Hot water tanks/furnaces in the basement and not in the living area, they can backdraft too, but probably go un-noticed if you don't have a CO detector in the Basement, most people put them in the living areas or near bedrooms.
You have to make sure you keep the chimney is clean of fly ash and the baro and draft measurements are set correctly and do the routine maintenance on the stove every season shutdown.
The Direct vents stoves have a Flume switch that will activate and trip the stove off line in case of a problem with power venting the gases.
Just like a wood stove, there is no real safety features that interlock any CO problems that could backdraft thru the draft controls or the door when you have to load it. (we burned wood for many years, I don't think we even had a CO detector?).