'Evening Star' has a tender with a tunnel for the fire irons (used for cleaning the fire of clinker etc) which in real life, and on the model, protrudes into the coal space. This would have made a 'lift-out' load of coal difficult to model. So Bachmann took the decision to leave coal out altogether. (Information from several reviews in mags.) As Alister says above, it's not difficult to add your own load if you wish to.
(Main problem I had with my 'Evening Star' was one bit of track which was too sharp a radius for it to go round and which has had to be relayed to allow it to go!)
Regards,
John Webb