Basically, Wanda didn't hold Thanos back. He let her think he did for an easier win.
There are main 2 factors in play here. The gauntlets power and Thanos's pride. Wanda's power is a tertiary factor. Spoilers ahead!
In order to use the gems together, you have to be a being who can channel the huge amount of power that flows through it. Separately, they don't have the same energy drain. Thanos is one of these beings as he has focused on increasing his personal power over the years, at least, in the comics he has. This is later confirmed in Endgame when Thanos said he used the gauntlet to destroyed the gems and it nearly killed him. Also when Tony used the gauntlet and died.
Secondly, Thanos's downfalls is pride. Thanos is a master tactician (or overly cautious) and knew he could reverse time and take the stone at any moment.
In his pride, he let others think they have a chance to win, (when they don't) just to cause despair. Thanos revels in defeating his opponents to the point of despair including the Avengers who face him before Wanda does. That's Thanos's thing, he's Death's Champion, a nihilist and when he defeats you, he wants you to know it, without a doubt, that you were defeated before the battle started. Like Dr Strange said "1 in 14,000,605 possible futures."
When facing Wanda, he only channeled enough power to shield himself until Wanda finished off the Vision herself. Then he brought the Vision back, casually backhanded her and took the final soul stone, to her despair. Since her power was spent, she was easier to deal with compared to if he went head on with her and would have to channel even larger amounts of power through the gauntlet. He needed to use as little as possible to channel the large amount used in removing half the universe.
Later, he even went so far as to mock Thor and say "You should have went for the head." Then snapped his fingers and completed his task, to Thor's despair.
So he let Wanda win and then showed her it was all for nothing. As he said, "I am inevitable." Such is Death and it's Champion.