Does the UM33A-S have a HOLD function and if yes how does it work?

Yes, it does.

HOLD Display
Active when HOLD function is set ON (active) in case of Calibration and/or Manual HOLD.
LOCK lights up to indicate HOLD mode.

HOLD during calibration
When calibration is active the mA output can be set in a HOLD last (mA value just before calibration) or HOLD fix (fixed mA value, settable 3.6…20.5 mA.

Manual HOLD during commissioning
mA output HOLD is enabled by pressing the Fn key. The mA value will stay in HOLD last (mA value just before pressing Fn key) or HOLD fix (fixed mA value, settable 3.6…20.5 mA). mA output HOLD is disabled by pressing Fn key again.