I think there may be some things to consider here with hand holding.
Holding hands is typically for a private moment between a couple and also to be used by the man in an unfamiliar setting designating the woman as his and to stay clear.
In a public setting like they are being shown everyone knows who she is and who she is married too.
Also Melania may not want to be viewed as a possession on display in this public setting.

There's nothing wrong with holding your wife's hand in public. But if you only do it for show, it will not look real and your wife may be offended. I think Melania is tired of being viewed as a trophy wife. It is so obvious on her facial expression..

Articles about hand holding and Melania's fashion choices seem to be much ado about nothing.