I was going to put this in a comment because I believe I am relying on conjecture a bit too much but I ran out of space.
Everything I have read online indicates the air holes are various ways to idiot-proof the steam wand and make it more consumer friendly. On my old Delonghi EC 155, it had 2 air holes that were used to help incorporate air into the milk. A common modification of this machine was to replace the entire steamwand with a wand from a higher end machine that lacked all the air holes / plastic contraptions.
A big hindrance to microfoam is the air holes mentioned, or simply, a poorly designed wand tip. There are videos online of people producing high quality micro foam on the Delonghi EC 155 with a modified wand.