I would have thought the same too, but Zhang Hao in general is a very touchy person. If you watch the star level test closely, you can see him hold onto Ricky like his life depended on it. Even when they were reacting to the first episode. Ricky nearly flinched with how hard Zhang hao was holding onto him.

Shanbin is also pretty open to skinship. I'm honestly not that surprised that they hold hands so often.

Also idk if it's cultural differences, but I also do hold hands with my friends all the time. It's really does help me stay calm and collected and vice versa. It's pretty comfortable between us, but if it's someone else I'm not super familiar with, it can get awkward.