i agree that if they always intended to call the girls Coco and Maddie, it would have made far more sense to simply name them Coco and Maddie - i don't know if that was originally the plan with Coco, or if it was a nickname that just caught on, but certainly with Maddie when they've said from the start that they're not going to call her Madison!
i don't think school will be too much of an issue for Coco though. pretty sure she attends nursery, and i'm sure it's simply a case of letting the school know that her preferred name is Coco, so they know to call her that. i'm sure she's aware that her full name is Chloe, but teachers etc get used to calling kids by their nicknames and obvs she'll just introduce herself as Coco to the other kids so i doubt it will cause any huge issues.