Why is my hole filled after combining?

The winding rule of the object is set to "Winding" instead of "Alternating".

There are a few methods to fix this problem.  Reversing the filled hole subpath will make the hole non filled.  An alternative method is to run the following macro with the object selected.

Sub ToggleWindingRuleOfSelectedObjects()
    Dim s As Shape
    For Each s In ActiveSelection.Shapes
        If s.Type = cdrCurveShape Then
            If s.FillMode = cdrFillWinding Then
                s.FillMode = cdrFillAlternate
            Else
                s.FillMode = cdrFillWinding
            End If
        End If
    Next s
End Sub

How did the winding rule set to "Winding"?

Most likely, one of the objects which were combined was originally a text object which was converted to curves.  Some fonts have overlapping characters (e.g. a script font).  When text is converted to curves the winding rule is set so that holes do not appear on the overlapping section.