Holding all five cards and pushing the draw button when dealt 4-of-a-kind is a play that early video poker experts made, and it was something of a rite of passage -- if you made the play, you were considered to be in-the-know. In the early days there were far fewer video poker variations than there are now and the schedules were typically basic, e.g., Jacks or Better or Bonus Poker. If you're dealt 4-of-a-kind on one of those games, there's no possible way to improve, so holding all five doesn't hurt. But doing so has two possible advantages. First, holding all five cards reduces the chance that you press a wrong button and miss holding the dealt quad. Simply select hold all the way across and reduce the incidence of error. Second, it eliminates the chance of a fifth card of the same rank showing.
The second reason was considered most important. If you're deal quad 9s, for example, and hold all five cards, there's no chance the machine will deal a fifth 9, which would constitute a malfunction and probably void the original winning hand. Of course, the chances of that happening when you draw one are next to nil. But the thinking was that nil is better than next to nil; hence, the play.
The logic still applies, only you have to be certain that drawing to a dealt quad really can't help you. The two obvious times when you don't want to hold all five is when playing games with wild cards or when you have a chance for a bonus with a good kicker, as when playing a game like Double Double Bonus.
