Several part answers to your questions:
Many ways to skin a cat. This is my method as i do not know exactly what is going on with what was created from the pictures provided, so adjust to your needs. This is a quick skim assuming basics are known.
*Consider using skin modifier for weighting objects. Physique is seldomly used nowadays. Skin object to ltHand. Export XMF.
Hold in max using Lollipop as example in rtHand
1-Delete all preset animation in max.
2-Beginning with frame zero auto key on, rotate selected bones where you want to form a grip around object. Press set key when satisfied.
3-Select Female03MasterRoot export XAF using Female04_Anime01_SkeletonMASTER.xsf for bone structure. It has been said can choose specifically which bones to export by unticking, but i crash when doing this so i go ahead download entire structure.
Only 2 Frames are necessary to be downloaded.
4-Edit Manually XAF. Remove from XAF all unnecessary tracks from bones that were not used. Otherwise avatar will be in T-pose. From XSF find corresponding number to bones manipulated. In my example bones 60-85 for Right Hand.
Holding Item Accessory
There is no trigger stance.Idle for accessories derived from clothing incl empty clothing and in this case as well since uses more than one bone, nor can a "hold" be used on a true accessory. "h4c|<" around for an instant hold would be to use blink as trigger and as avi cycles and begins thru default movements, the hold instantly then takes place. If you want user to have full control using trigger then replace blink with hold. I prefer the automatic hold once product loads.
Another option is to derive from a glove, i guess, where the XMF overrides hand positioning.
Addressing Shake animation...coming.