From my own research, it appears to just be a tradition. Some Catholics do it too.
Interesting note, the 3 pretzel style folding holes also signify the Trinity, some of them say.
I believe that by common sense, praying by holding hands together is a posture similar to the humble prostrate. Thus, is preferred to folding the arms, but I wouldn't criticize further than that. As long as the prayer gesture is not done in a rebellious way, it is fine. Nonetheless, being a Mormon/LDS is theologically cultish and thus not Christian, but that's for another topic.