What for is L1 coil?
Yes the four windings are coupled inductors or in other words a transformer. I think it's a construction to generate the -12 V supply from either of the 3 other supplies, +3.3, +5 and +12V. Since the filtering caps are on the right of the 4 inductors, the ripple current will go through 3 of the 4 inductors. This will generate a voltage on the 4th inductor for the -12 V.

The diode on the right looks to me like a safety precaution to prevent the current flowing the wrong way.

The diode on the left had me puzzled a bit as it appears to block the current flow needed for the -12 V. But I think I have an explanation, I think this diode allows the inductor to build op current one way but blocks the other way. What happens when it does that ? Now think of when you control the coil of an electro-mechanical relay with a transistor, you need a flyback diode to protect the transistor because if there is no flyback diode the voltage will increase (coil with build-up magnetic flux but the current cannot flow). I think this voltage buildup is used here to generate the voltage for the -12 V.

Note that on almost all PC/ATX power supplies like these, the -12 V and -5 V cannot deliver much current. Usually 100 mA or so.