HOWTO create full list of Contacts in ON HOLD status
Actually, the answer lies in the Export, not the filter to create the list. I just added 3 Individual contact columns to the Export: (i) "No Bulk Emails (User Opt Out)", (ii) "Do Not Email", (ii) "On Hold: Primary". It evidently worked. The "Primary-On Hold" column set to 1 with the other two blank grabs the Bounces. The first 2 columns provide Opt-Out and Privacy settings, no matter whether set via email response or manually by admin. Even though the answer was simple, I hope this helps someone else looking to do the same.