They are adding new syntax and keywords, things that you can't really do with a library.

The analog in the JS ecosystem would be typescript. Why isn't it just a library, because they wanted to be able to introduce new syntax and new constructs.

The little editor on the homepage shows the "compile to Python" step if you click the little checkbox. It will list the python that the coconut code gets transformed into. The code is relatively readable (for short snippets) and this is the same approach that typescript took for adding new functionality on top of an existing language.