The word "fucking" can be scattered in almost any sentence for emphasis. It's also incredibly vulgar, however often English speakers use it (and I'm one of them). Perhaps the easiest way to scan any sentence that uses the word is simply to drop it out: "He loves being hard to please." Verena is pretty correct on this. To be hard to please is to be someone for whom nothing will satisfy. The singer (who isn't a native English speaker, I believe, but her English is pretty native sounding) is implying she does everything she can to make "him" happy, but nothing is ever good enough for him. I will note that profanity is actually one of the hardest things to pull off, probably in any language. English speakers themselves will sometimes sound awkward. In this particular case, a more native-sounding way to say what she said is "He loves being hard to fucking please." Technically this splits the infinitive, but "never split an infinitive" is a fake rule anyway. https://en.wikipedia.org/wiki/Split_infinitive

I guess the person saying that sentence could mean something like "he really loves to be demanding" (in a negative way).

The sentence doesn’t make sense.

here 'fucking' is a part of speech called an "intensifier". Looking that up might also help you understand. As Michael Alan said, it is very vulgar, but its the same as saying " He loves being (so/really/very ) hard to please.