The default settings allow focus to be initiated by pressing either the shutter button or the AF-ON button. If one wishes to use the AF-ON button to initiate focus, and the default settings are left in place, then one does have to continually press the AF-ON button to cause it to continue to focus on the subject (although if the subject is moving, focus tracking would be employed once focus was initiated by pressing either the shutter button or the AF-ON button, so that is another possibility).
I think that most people who use the AF-ON button set custom setting #A6 to limit focus initiation by the AF-ON button only, i.e. the shutter button will no longer initiate focus. This is useful, for example, in order to seperate the focus and metering functions. One can initiate focus by pressing the AF-ON button, then recompose and meter (with either the shutter button or the AE-L/AF-L button, depending on custom setting #C2; if one wishes to initiate focus via the AF-ON button and also use the AE-L/AF-L button, setting #C2 must be set to initiate metering only and not focus). Back to your question about having to hold the AF-ON button down, if custom setting #A6 is set for focus to be initiated by the AF-ON button only it is not necessary to continue to hold the button down; the camera will remain focused on the same spot until one refocuses by pressing the button again. Be aware, however, that in order to use this method one must select Continuos Servo mode and not Single Servo mode; otherwise the shutter will not open and take the picture.
As with other Nikon manuals, the manual for the D200 is not very good. If you need additional help I suggest that you buy Thom Hogan's ebook on the D200. The explanations of that book are far superior that of the Nikon manual.