From memory cause I haven’t smoke in 20 years, it’s mostly about filter.

Cigarette have industrial made filters that are solid and doesn’t heat that much.

Joint have hand made filters generally made with a bit of rolled cardboard or the tip of a cigarette (opposite side from the filter). Both makes the joint less sturdy than a cigarette and the heat is more easily transferred.

When you hold it like a cigarette between your index and middle finger it touches your fingers where the skin is the thinnest, so it burns you more easily, specially when you are close to the end of smoking.

Then there’s maybe a psychological side, cannabis is illegal or frowned upon in many places, so hiding your joint inside your palm makes it less noticeable (except for the smell of course, I didn’t say it was logical).