One of the central duties of parents is to teach their children to be grateful to God for all their many blessings. I remember my father teaching me that I could not even lift my little finger if it were not for God’s power and goodness. That little lesson had an impact, obviously, because I still remember him demonstrating this finger-lifting.
So when you are teaching the little ones to say thank you and please, it is a lesson about their Christian duties that reaches beyond simple cultural expressions of good manners. It it teaching them to have thankful impulses. It is teaching them to speak the language God wants to hear from all His people all the time.
Our fallen, sinful impulses direct us to take notice of what is missing, what is lacking, how things fall short of our desires. This is why kids whine and moan and are given to complaining. But God has given parents to children to bring them up to better things. So we have to accompany our commands to our children (say please when you ask for things) with biblical teaching (God wants us to be thankful for everything all the time).
Children need to be taught to count their blessings: fingers, toes, parents, siblings, food, sunshine, rain, Christmas, and all the rest. And, as always, it comes back to the parents modeling such gratitude themselves. It is rather counterproductive to snap at your children with, “Say thankyou!” as though you want to add, “you little beast!”