Whole wheat flour is made with all the wheat bran and wheat germ intact. It does not mean the whole plant is thrown in there. Whole grain means something similar, only it doesn’t have to be wheat – it’s whatever grain they’re using, but still whole. (The whole plant, including the stalk, chaff, etc., would not be all that digestible for people.)
Coconut flour is ground up coconut nutmeat – the white part of the coconut. Coconut is indeed high in sat fat, but it’s the good for you kind. Besides, flour from coconuts may well be defatted anyway. It’s a good flour alternative for people who can’t have wheat or gluten, but keep in mind that it will behave very differently from wheat flour.
“As good as whole grain” is a matter of opinion. As good for what purpose? If you’re making bread out of it, be prepared for a very dense loaf that doesn’t rise without some serious additions of other grains or some gluten. If you’re making pasta, it will probably fall apart. But if you’re making something like brownies or pancakes, it may work quite well indeed.
What do you plan to do with the flour? That will help us help you figure out which flour is best for your recipe.