They just go when they need merita. Sometimes frightened hams wee with fear but this just sounds as if he needed! It is quite good really as they are quite vulnerable when weeing so he must have felt safe to do it there
As he is a baby he is really not going to sit still on you for long. They are so inquizative, curious and active they just want to see what is happening a little bit further on! When he is quite a bit older he may sit and just let you stroke him but for now you need to let him be a giddy baby. Hamsters are never really cuddly though like cats and dogs.
I think you are doing great with him and he sounds like he is taming nicely. Well done you