That sounds nice in theory, but real programs have multiple channels of IO going on: std IO, logging, network, database, file system. I follow discussions in Haskel groups sometimes, and combining and untangling multiple monads is a persistent problem that doesn't have a good solution yet.

Coalton has a monad type class (and applicative etc.) but it is not a pure language, so it has no special annotation for side effects.

No, it wouldn't make sense. Coalton is a strict language.