This Challenge is part of the Fortnite Winterfest mission. It will ask you to inflict damage to an opponent by throwing a Lump of Coal at them. This rather insignificant item has been added to the patch in preparation for Christmas. It inflicts an amount of 20 points of damage if it is thrown at an opponent.
You can find it absolutely everywhere, whether in chests or on the ground.
As far as the choice of the mode to validate the challenge is concerned, the team Rumble mode is very appropriate, especially just after the challenge is published. Indeed, you'll have all the time you need to find your piece of coal and then stone your opponents without fear of dying.
In the Battle Royale, the coal is currently out of use. We know that it can already rekindle a campfire, or be thrown at an enemy, but it is still quite meager. We can imagine that Epic Games has other plans in the coming weeks for this seemingly insignificant object.