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I'm assuming they're indicating that the mass below the apparatus increased in fall (when storage was filled) and decreased slowly through the winter, leading them to measure a changed graviational constant. A back of the napkin calculation shows that in order to change the measured gravitational constant by 1 %, by placing a point mass 1 m below the apparatus, that point mass would need to be about 15 000 tons. That's not a huge number, and it's not unlikely that their measuring equipment could measure the gravitational acceleration to much better precision than 1 %, I still think it sounds a bit unlikely.
Remember: If we place the point mass (or equivalently, centre of mass of the coal heap) 2 m below the apparatus instead of 1 m, we need 60 000 tons to get the same effect (because gravitational force scales as inverse distance squared). To me this sounds like a fun "wandering story", that without being impossible definitely sounds unlikely.
For reference: The coal consumption of Luxembourg in 2016 was roughly 90 000 tons. Coal has a density of roughly 1500 kg / m3, so 15 000 tons of coal is about 10 000 m3, or a 21.5 m x 21.5 m x 21.5 m cube, or about four olympic swimming pools.
Edit: The above density calculations use the density of coal, not the (significantly lower) density of a coal heap, which contains a lot of air in-between the coal lumps. My guess on the density of a coal heap is in the range of ≈ 1000 kg / m3 (equivalent to guessing that a coal heap has a void fraction of ≈ 1 / 3.)
Thank you for the very well detailed explanation, as well as the visual. Much appreciated!
À better question is why is a university still using coal heating in the modern age?
This observation further compounds the hypothesis of "fun wandering story that has been told from person to person for a long time"
Fits in with the sinking library and Native American graveyard (though i believe that the exact second one may be regionally locked)