Re: They really shouldn't be holding their breath
Though, indeed, the advice is to breath out, that's not necessarily going to do much to save you. The body is inherently containing all sorts of pressures all the time, in an air-tight manner, just while you sit there. You will no doubt burst vessels and other pressure-carrying parts of the body quite quickly no matter what you do if you are exposed to a vacuum but it's nowhere close to instantaneous exploding death.
The air in your lungs will actually probably find its own way out, whatever you do to your voluntary muscles that retain it in there (and only ever temporarily anyway). The air in your blood is really the problem because it will bubble quite quickly without atmospheric pressure on your skin, which means you'll get clotting and the bends almost instantly - and that's what's likely to actually kill you. You won't actually die from lack of oxygen, as such, or exploding - like drowning, you'd just have no oxygen in your lungs to push into your bloodstream and it would take a few minutes to exhaust the blood's dwindling supply.
But, probably, you're ears, eyes and other parts will give you lots of injury very quickly that probably won't be that easy to repair. Then you're likely to enter shock anyway. Then you're likely to die of a clot reaching a critical size. Then you're likely to die of actually asphyxiation. Exhaling won't actually buy you time on any of those, except possibly reducing injury to whatever barrier the air chooses to escape through (which is almost certainly going to be up through your throat anyway - path of least resistance and all that).
And people have been exposed to vacuum. You can go google their fate. Pretty much you sustain the injuries I posit above or die, depending on how long you are there. There's not enough data to suggest whether exhaling is even possible, let alone wouldn't happen physically anyway, let alone would reduce any particular injury, let alone would stop you dying.