Although it is not in its natural habitat, where this group of crickets comes out at night and returns during the day to its characteristic silken shelters among the leaves.
Why is it building shelter in the person's hand? I believe that, for the cricket's nervous system, the hand functions like a folded leaf or a crack in a plant. It doesn't know it's a hand, it doesn't understand the context, it's not "interacting" with the human.
He is simply executing a very ancient biological program: "I am in a place that seems safe, so I build a shelter," because he feels protected, which they do naturally in their habitat among the leaves.
If it was raised in captivity from a young age, this further reinforces the behavior in the hand. The urge to weave doesn't disappear without the right environment, because instinct doesn't need a perfect setting to manifest itself.
I believe that a half-open hand offers the same physical stimuli as a refuge: stability and protection. It doesn't recognize a human hand; it only responds to what its body was designed for: to weave shelter, to protect itself.