If you really can’t figure out how to avoid polling then be smart about it. Waking up every second may seem very conservative, but if every long running program does it then your CPU may get woken up dozens of times per second.
The rules on timer coalescing are complex and they depend on the details of the timers. So, the timers may get coalesced, but it's hardly guaranteed, especially if the different wakeup frequencies are slightly different.
I suspect very few programs are using SetCoalescableTimer, but I'll add that as a suggestion.
My understanding was that this shouldn't be true since Windows 7 (and on Mac, since Mavericks): https://en.wikipedia.org/wiki/Timer_coalescing