After sending the file to Support, I got the following info back from Kent:

"Hi Lloyd,

There's nothing really wrong with this song file, it's doing exactly what it was told to do.

If you open Song Settings, you'll see that all of the checkboxes at the top have been unchecked. In this case, the relevant one is "Allow Rests in First Chorus". Holds are considered a type of rest in Band-in-a-Box, and unchecking that box tells Band-in-a-Box to ignore them.

All of those boxes (except for "Force Song to Simple Arrangement") are checked by default, that's why copying the chords into a new song got the chord to hold."

Mystery solved!
Thanks Kent!