A held opponent is, like any other character in melee, engaged. Therefore he would only be able to move if he declared defensive movement to leave the engagement.
However, a held character cannot use defensive movement until he escapes the hold. This was not made explicit in the rules, but was the intent of this sentence: "A held opponent may make a saving throw versus Paralysis each round to attempt to escape the hold."
While he cannot move until he escapes, a held character is not helpless; he can take other actions, including attacks. Howeer, a held opponent can be the subject of a brawl, force back, disarm, or knock down action each round without an attack throw being required. The held opponent still receives a saving throw.
Round 1. Marcus is face to face with an orc chieftain (saving throw 13+). He has no weapon! He makes a wrestling attack against the chieftain (-4 to his attack throw for doing so) and hits. The chieftain fails his saving throw and is now held.
The chieftain attempts to escape. He makes a saving throw but rolls a 7 and fails. He is still held.
Round 2: Marcus brawls the chieftain. He automatically hits, dealing 1d4 +2 (STR) + 2 (fighter damage bonus) non-lethal damage to the chieftain. His roll is a 3, so the chieftain takes 7 damage. Brawling does not permit a saving throw.
The chieftain hacks at Marcus with his axe. He makes an attack throw and misses. He is also still held.
Round 3: Marcus decides to shove the chieftain into a nearby burning brazier. This is a forceback. He automatically hits. The chieftain gets a saving throw, but fails. Marcus's normal damage is 1d4+4 and the roll is 5, so the chieftain is shoved back 5' into the brazier. He takes 1d8 damage as burning oil coats him., for a total of 6.
The chieftain is now free of the hold. He charges Marcus with his axe and misses.
Round 4: The chieftain takes another 1d8 damage from burns, rolling a 5. He has now taken 18 points of damage and expires.