An unexpected token "CREATE TRIGGER

You have 2 things going on here -

1) When the ";" character is part of the SQL statement, it's necessary to use a different character to terminate the statement. I typically use "@". To tell the "db2" command that you have chosen a different character, use

db2 -td@

or if you want to read from a file

db2 -td@ -f <somefile>

2) The correct way to update new row in a trigger is to set an alias for the new row, and use a set clause:

CREATE TRIGGER TRG_EFMREFNO 
   BEFORE 
   INSERT ON FEEDBACK_CASE_TB 
   REFERENCING NEW AS N
   FOR EACH ROW 
   BEGIN 
       SET N.EFMREFNO = SEQ_EFMREFNO.NEXTVAL;
   END
@

There may be other ways to use the sequence with the default clause in the create table statement that will accomplish the same thing: