How to install GFCI combo switch and outlet with only 2 wires
Please post a photo of wires coming from the wall. 
In my opinion your former switch was RCD outlet + unprotected switch, newer is RCD outlet + RCD protected switch. The difference is that the neutral coming from the light should be connected to the 'load' side of your GFCI when with older setup this wasn't needed.

To have it work you should:
1> pigtail one of the black wire with the black coming from the light fixture
2> connect together the black feed from the panel to the black wire TOGETHER with the other black wire coming from the switch (2 wires in one screw)
3> connect the two whites (one coming from the panel and one from the light fixture) to the other terminal of the outlet (2 wires in one screw)  

If you have more than 4 wires coming to the switch, the third pair serves the other outlets in the room and should be connected to the LOAD side of the outlet (to the screws protected by the tape).