Pretty much a perfect prank - no one gets hurt, it's not intrusive to others, and everyone laughs at the end.
I gotta say, the guy is pretty slick with it - I'm guessing the big jacket he's wearing towards the start of the video was how he was able to smuggle the hand to their grocery trip without his girl noticing. He's also pretty impressively smooth with transitioning her from holding his hand to the zombie hand without her noticing.
From that point on it's pretty much just a matter of not giving up the joke too early, generally staying behind her so she thinks he's still with her as she casually browses the store and possibly thinks "Wow, he's being so patient today and just letting me lead." It isn't until he literally stands in front of her and hands her a bag of oranges that it very gradually dawns on her that she's not holding HIS hand anymore.