That isn't even close to true. I can smell coal stoves extremely easily. And yes we are from central pa it is all anthracite here. Go walk down the street in shamokin kulpmont or somewhere deep in coal country during the winter and the smell of sulfur is really strong. I can only imagine when everyone was burning coal.It's difficult to cite any data on this because all of the data is related to soft coal. Anthracite is niche market so it's largely been ignored. Anthracite has carbon content of 85 to 95 percent whereas the soft coal is typically much lower. If you are concerned about your personal health I wold suggest the wood is bigger issue because of the particulate issues. If your concerns are for the environment in general then wood is better than coal.
Even in close urban environment your neighbors wouldn't even know you were using coal. You might get a whiff of sulfur on warm and humid mornings when the wind is blowing right.