Group By - Incorrect syntax near 'mycolumn'
Figured it out shortly after I posted.  I need to remove the alias from the GROUP BY clause.

Solution:

SELECT 
    MIN(EffectiveOn) AS EffectiveOn,
    Address1,
    Address2,
    Address3,
    RTRIM(LTRIM(COALESCE(Address4, '') + ' ' + COALESCE(Address5, ''))) Address4,
    PostCode,
    PolicyId
FROM 
    NameAddressCoverHoldingTable 
GROUP BY
    Address1,
    Address2,
    Address3,
    RTRIM(LTRIM(COALESCE(Address4, '') + ' ' + COALESCE(Address5, ''))),
    PostCode,
    PolicyId
ORDER BY
    PolicyId, 
    MIN(EffectiveOn);