In pranayama, breath retention helps to bring prana and apana inner energy together and move it towards the sushumna nadi which promotes activation of kundalini.
Generally, thought, unless you have been practicing pranayama for some time, it is not advised to include breath retention.
It is much better to focus carefully and mindfully on inhalation and exhalation.
In pranayama, breath holding also includes the application of locks (bandhas) and these need to be applied safely, correctly and in a specific order.