I prefer the continental grip myself. Is this your typical coach? Did he/she give you a reason why they wanted you to try a different grip? I think the continental grip is the best overall grip for serves. That is my opinion though, but I think you will find it a preference amound solid tennis players.
If it is a coach that you trust, by all means, see how it feels. They might have a particular reason why they are asking you to try it.