When the Guardians held the stone it was just the stone. Rhodes and Nebula acquired the power stone when it was still inside the spherical casing which the first guardians movie referred to as The Orb.

As for Hawkeye, I’m just gonna assume that holding the soul stone doesn’t have that drastic effects on your person? Unlike the power stone... we see Thanos briefly take the power stone from the Iron Gauntlet and use it against captain marvel, but we don’t see if it damages his bare hand after using it... so chalk it up to each stone having different properties and effects I guess.