I found a picture of Walter on his back with his hands and fingers visible. Most likely, Lily had taken exception to something that Walter had done and he was being reminded that she is in charge. So, here he is lying on his back not moving. When they really get a talking to from a more dominant rat, they may end up "playing dead" for minutes at a time.
Anyways, the arrow is pointing to the thumblike appendage that rats have. And, yes, they do grip on to things using that thumblike thing.
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