What gives a character are physical and observable characteristics or features that look interesting to an audience. There are many, many of those, and finding them is what our training workshops, and what Chekhov's tools, are for. But always remember that the audience can only see what they can see with their eyes.  They cannot see what you think or what you feel UNLESS those things come out physically on stage. You might FEEL fear, which really is a secret inside your head, but if you somehow act that fear out with your face or body, the audience will never know it. SO, the idea of "holding a secret through the play," will do nothing for the audience unless you somehow act out physically what that secret means.  HOWEVER, a secret can create tension inside of you and you may not be able to hide it - it might come out in your actions.
Another way to look at having a secret is to say that you must have an objective, that is, something you really must get or achieve. And that often is secret until the audience figures it out through your repeated attempts.  IF you are blocked from getting that objective in every scene, until you finally do get it or finally fail to get it, then the internal psychological drive inside your character (which is inside your own imagination) to get that objective can make you act physically in certain ways that the audience can then see.  BUT remember always, the audience never knows what you are thinking unless you verbally tell them - so they will interpret what they see you do through their own beliefs and thoughts.
YOU cannot make the audience feel anything. They will feel what they feel because of what they interpret in what you are doing.  This is a major difference in what Chekhov teaches and what other actor training systems teach.
SO if you want to create a secret (an internal thought that you do not ever reveal) and you let that secret drive your character to do physical things in your scenes that the audience can see, then you can make your character more interesting and fun to watch.  You can also do that through a number of other Chekhov tools. In fact, all of them are tools that help you imagine the characteristics of your character, especially if they are different from your own personal characteristics. Every tool on our Chart of Inspired Actions open your imagination to try out and then practice those different characteristics.
AND, in the middle of a scene or play, IF you are not inspired by something to play the scene, you can use one of the tools to help you quickly get through that scene. That is the PG, especially if you are taught the right way to do it, which is a movement sequence with your beginning, middle and ending positions. Done right, you can do this exercise immediately before you go on-stage or in front of the camera and it will put into your bones, meaning you don't have to think about it, what that scene means to you. You might even mirror small pieces of that movement sequence into your on-stage character's actions.  BUT you would never in a real scene actually DO that PG full out. It is, like most of the tools and like most of the Stanislavsky method, a practice tool, not a performance tool.