Combo weapons are capable of allowingt you to use more abilities and allows you to use certain abilities to greater power, for example. Say you have a pair of boarding knightes, pretty good but also limited. Now say you have a knife with a shield, it allows you to do a little bit more, but still limited, but with a gun it gives you an entirely new range of abilities. Combos also gain added benefits like slashy, stabby, shooty, staffy, ans smashy which can be trained by other trainers. They add a little spice to gameplay and in pvp it makes some people wildcards. For Example, in you have sniper shot as an ability and have a slashy shooty you will still be able to use it, but your melee range is only one, not of an average musketeer. Combos provide players with many different playing styles, you should try some out.
I would try them out but they still seem somewhat confusing.
So you get them as drops; equip one in a low-stakes fight and see how it works for you. Pop on back to Skull Island and wallop the troggies or the sharks a bit to see what the weapon does. I like 'em because I can then get the benefit of both my shooty skill and my slashy skill, or my staffy and shooty or my stabby and slashy (depending on the weapon and the pirate).
Say you are a swashbuckler with talent in stabby weapons. With your level, skill, and weapon modifiers for your stabby weapon your damage base is, say, 55.
If you were to switch to a stabby/slashy weapon of the same damage modifier as your stabby weapon, there would be no benefit.
However, if you use some of your training points to cross-train as a privateer and take the privateer skill "Slashy Weapons 1" (which gives you +2 with slash weapons) than with your stabby/slashy weapon you would benefit both from your swashbuckler stabby bonus and the new +2 bonus with slashy weapons - so with both weapons having the same base damage bonus, you would still have a better (55 + 2 = 57) damage bonus with the stabby/slashy weapon than the stabby weapon (55).
Probably more importantly, some of the abilities you can activate in a round require your weapon have certain classification type. If you have an item that gives you the "Sniper Shot" ability, you could not use it with a stabby weapon; however, if you have a stabby/shooty weapon, you could use it.