Well, as an example of extreme non-hand holding, Dark Souls comes to mind. There's a short introductory video that you can optionally skip, you're dropped into a tutorial area with messages on the ground that are 100% optional to read, but the tutorial area is still fairly challenging but easy to beat quickly and get to the main game, and then you're plopped down in the hub area with only a mild suggestion of which direction to head first.
I think a few bad examples of hand holding are lots of unskippable cutscenes right at the start of a game and a long unskippable and painful tutorial. Like when they explain what WASD movement is or camera panning. Those should 100% always be optional and skippable.
Also, when the hand holding takes all the fun out of the game, like a good example of Skyrim (or Oblivion) vs Morrowind; in Skyrim you get a quest, you follow the quest marker or look on your map, you do the thing, then you hand in the quest. In Morrowind you have to listen to every word people say, sometimes you have to refer to the text in your quest log if you get lost, you have to chart your own path towards where you think the quest objective might be, it's way more involved and intricate and, well... Fun!
So basically hand holding is bad when it removes fun elements in favor of simplicity, and it's bad when it involves an unskippable and tedious tutorial.