I want to reply more at length later, but it means two things in my experience of therapy, my therapist also uses the phrase.

The first meaning is that the therapeutic relationship is a safe construct of my therapists, and that within that emotional and physical safe space, she can contain all of me. My anger, my fear, my sadness, my pain, my quirks, my joys, my dreams... it all fits- I can be myself, and she is strong enough and safe enough to hold it all and accept it all.

The second sense is more the holding you referred to, that she will compassionately contain my tears, share the burden of them, share my fear, share my ambivalence, so it doesn't overburden me. It's about partnership and yes, somewhat like... being embraced, to let me let go of some of the tension of holding everything myself.