I have an auto 2007 RX-8 and I can shift between R, N, D without holding brake. Also I can put from R to P without holding the brake. However, When I put it to P it doesn't release until I hold the brake. Is this normal with this car?

 

Isn't it normal in any car? You need the brake to shift out of Park, but after that you can do whatever you want, including going back to P.

 

Normal I think. In my gf’s sc430 and my mom’s Skoda Fabia at least it’s the same

 

That's how all automatic cars work. I think it's mainly for safety so that the car cannot start moving without human intervention but there might be more to it.