No, it's not grammatical in that sentence, but it's not the "have" that's the problem. You could say your sentence properly as: Could you bring back those nice French biscuits THEY **have** in the duty-free shop? In that sentence "have" is the basic idea of possession. The store possesses or has those biscuits and in this case they have them available to buy.

Since the first part was answered, I’m only going to answer the are we/aren’t we question you have. “We are on holiday together, aren’t we?” is correct. The only time “are we” would sound natural in that sentence is if you made it negative: “We aren’t on holiday together, are we?” The reason for this is because the “are we/aren’t we?” part is idiomatic. You want the person you’re speaking with to agree with you, and you want to confirm what you think. The question has to be either positive or negative depending on whether the initial statement is positive or negative.