My manager asked to include words like "Please let me know" or please words in emails and said that that is the proper way to send emails.
Is it important to include this sort of terminology in emails?
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In many cultures, it is unneeded. Pleasantries are less important the more direct your culture.
However, many people prefer things to be requests (as emails without 'please' can come across as demanding). Which is reasonable, particularly for requests.
I would highly recommend doing this.
Please is something that should be used whenever you ask for something.
But in reality, it doesn't matter if that is a common courtesy (even though it is) because your boss specifically asked you to do it and there is no argument to be made for not doing something that costs nothing but a second or so. It would be a bad move for your career to ignore this guidance. It will also get you into a good habit for after you move on as please is important to a lot of people. Courtesy smooths many interpersonal interactions and it is good to get into the habit of using phrases like please and thank you reflexively.
It is important to your manager. So you can include these words and make your manager happy, which will make you happy. Or you can not include these words, which will make your manager unhappy. And there's a good chance that it will make some customers or coworkers unhappy as well.
"Is it important" is not the question you should asking.
The time to contradict your manager is when he orders or asks you to do something that you think would be damaging. If he asked you to include "You are stupid" in every email, then you should contradict. "Please" is at worst not necessary, and at best it will make everyone's life easier.
What do you think will get a response quicker? "Please send the information that we need" or "Send the information that we need"?