Frequency bands for the Coherence NxN

PLV and PTE are methods that start by filtering the broadband signals in a subset of frequency bands, and then it computes a connectivity measures for these filtered signals.

Coherence is based on Matlab's the FFT function, you obtain your results for the full spectrum of your signal, between 0 and Fs/2.

Methods are documented here:
https://neuroimage.usc.edu/brainstorm/Tutorials/Connectivity

I think that grouping in frequency bands should be done first and then Coherence.

This does not make much sense. What you should have in input of the coherence computation is a broadband signal.