Are they caged together? Or is this just while out and about?
How long have they known each other, and what are their ages?
Male Cockatoos have been known to be aggressive to females in captivity, so I'd keep a close eye on any physical interactions for quite some time.
Whether 'feet holding' is a natural behavior or not, and has the emotional impact stated by others, I have no idea.
I do know I'd proceed with caution, and be ready to intervene instantly.
Perhaps I'd even stop this grabbing, the female may be feeling a bit intimidated by it.