How is it a favor? Either they’re using the ‘implied please’ tone mentioned above, in which case correcting them makes you look like a jerk, or they’re the kind of person who is a rude dick, in which case correcting them is unlikely to get them to change their ways. Honestly, I’m having trouble imagining a scenario in which I’d be grateful that someone ‘reminded’ me to say please.
It is vaguely like correcting grammar, as Rachel says. The desire to correct someone like this seems to be rooted in the belief that one persons way of communicating is ‘right’ and the other persons is ‘wrong’, which is pretty offensive really. It reminds me of the apparently unsolvable quandary of whether or not ‘no problem’ is just fine or a terrible affront against humanity. Regardless of which side you’re on personally, telling someone else what is okay for them to say is just going to make you look silly.
In any case, I think in general correcting someone’s behavior in public is inevitably going to result in the corrector coming off as way ruder than the corrected. Better to just leave well enough alone.