This is because the 'Hold notes' functionality for order holds leverages the document handling framework and each record created here must have a document type. This is the same issue with defaulting like in my previous post: http://daxdude.blogspot.com/2014/03/ax-2012-r3-manual-fraud-hold-errors.html
The location for fixing this issue is in a different location though. Navigate to Accounts Receivable module -> Setup -> 'Accounts receivable parameters'. Under the 'General' section's 'Setup' group (Figure 2 below), there will be a field called 'Note type' which must be filled in. This is the default document type for the order hold notes. Filling this in with a type should resolve the issue.