Sephiroth is certainly surprised when Cloud grips his hand, but...he's not about to protest. He grips the man's hand firmly, recognizing he's being used as an anchor and trying to provide all the steadiness that implies.

"It's all right," he murmurs. "It's all right to be scared. But also...know that you're safe. Know that there are people here who will help you, whatever challenges and fears you face. And know that, indeed, you are real. You always have been. No matter what Jenova says or does, it isn't you. It will try to blur the lines, but you are separate from it."