Is there any reason outside of practicality that one would need to hold a havdala candle? (Someone asked the question based on havdala sets having a candle holder)
The Shulchan Aruch in 298 - סימן רחצ - דיני נר הבדלה - lists 15 Halachot regarding the Havdala candle - and yet does not mention the need to hold it.
Even the fact that it's held is not mentioned.
Ditto for the Aruch HaShulchan in 298. In his 18 Halachot does not mention holding it.
Ditto for the Kitzur Shulchan Aruch in סימן צו - דיני תפלת ערבית ודיני הבדלה
Ditto for the קיצור ש''ע ילקוט יוסף in סימן רצו - דיני הבדלה על היין
Yet, all of the above mention holding the Besamin (spices) during Havdala. Conclusion - it does not need to be held, except for practical purposes.
Halachipedia - Fire points out that there are poskim that allow an electric light to be used for the havdallah candle. Even those who oppose this do not use the fact that it is not held as one of the reasons.
Some poskim allow one to use an electric light in place of a Havdala candle in a time of need. In fact, it is reported that Rabbi Chaim Ozer Grodzinsky would always use an electric bulb for Havdala in order to demonstrate how strongly he felt that electricity is to be treated exactly like fire from the perspective of halacha.
Nevertheless, there are those authorities who discourage the use of an electric light for Havdala. Among their opposition to is the fact that the blessing recited upon the Havdala candle includes the word "fire" which seems to imply the need for actual fire, not merely light. As such a light bulb would not be acceptable according to this view. Even among the authorities who permit the use of electric lighting when needed many would disqualify the use of fluorescent bulbs as they work differently than standard light bulbs. 
 Shaarim Metzuyanim Behalachah 96:6, Az Nidberu 8:2, Rivevot Ephraim 3:599. see also Mishpitei Uziel OC 1:9
 Shaarim Metzuyanim Behalachah 96:6. Sh"t Nachalat Shimon 15 says this was the practice of Rav Chaim Soloveitchik
 Har Tzvi 2:114, Sh"t Yechave Daat 2:39, Maharshag 2:107, Kitzur S"A of Rabbi Raphael Baruch Toledano pg. 323
 Hachashmal L’or Hahalacha 3:88
I know of havdala candles that are big enough to stand on the table themselves without having to be in a holder. They are often too big to be held as they are used. I have been using one that I purchased in Tzfat for the past several decades. I have seen them being used without being held in different homes.
The free standing ones that I have used and many of the ones that I have see, are too wide to be held. The way they were described in the store at Tzfat and elsewhere, was that they either could not be or did not need to be held.
There are a number of these that can be found on line.