Hi @Flatline, welcome to the forum 
Cockpit doesn’t do this, so if it can enable position holding then you should be able to with Pymavlink as well, as long as you’re setting the origin (as discussed above), and either sending regular heartbeats and pilot inputs (via MANUAL_CONTROL or RC_CHANNELS_OVERRIDE messages), or have disabled the both relevant failsafes.
What kind of behaviour are you experiencing, and are you receiving any error messages? It may help if you can share the code you’re running and your current parameters.