To determine which statement is incorrect regarding combination reactions, let's examine each option:

1. All combination reactions are endothermic in nature: This statement is incorrect. Combination reactions can be either exothermic or endothermic. For instance, the reaction between quicklime (CaO) and water to form slaked lime (Ca(OH)₂) is exothermic, as it releases heat.
2. Burning of coal is an example of a combination reaction: This statement is correct. When coal (which primarily contains carbon) burns in oxygen, it forms carbon dioxide (CO₂), representing a combination reaction where two reactants form a single product.
3. Combination reactions form a single product from two or more reactants: This statement is correct. By definition, combination reactions involve the formation of a single product from multiple reactants.
4. CaO reacts with H₂O to form Ca(OH)₂ with the release of heat: This statement is correct. The reaction between calcium oxide (CaO) and water to form calcium hydroxide (Ca(OH)₂) is a classic example of an exothermic combination reaction.

Based on the analysis, the incorrect statement is "All combination reactions are endothermic in nature."