Setblock clock with scoreboard doesn't work in Minecraft

Your command blocks are placed in the wrong order in the world.

When multiple command blocks are powered at the same time, they are executed in the direction of +X, +Y and +Z. It is very likely that your line of redstone "points" in the -X or -Z direction, thus making the game run the commands in reverse order:

/execute @e[score_Holding_min=1] ~ ~ ~ /summon LightningBolt ~ ~ ~
/scoreboard players set @a Holding 1 {DataTag}
/scoreboard players set @a Holding 0

This leaves every players Holding score at 0 at when the execute command is run, therefore it does not execute properly.

In 1.9+, chain command blocks should be used to easily prevent such issues.