The first therapist I ever saw, about 30 years ago, wanted to hold me while I cried. As I cannot cry on command, it never happened plus the idea creeped me out. (They do always get caught up in crying when dealing with me - maybe they want to cry).
I don't like hand holding at all with anyone. I reserve such activity for keeping small children from running into traffic (and since I have little access to small children -it is an infrequent situation for me).

I do think it is worth trying if you think it would be useful. The only caution I can see is if you like it and the therapist decides to withdraw - that seems to cause all sorts of issues. Or if you did not like it, would you be afraid to tell the therapist to stop it.