In essence, the phrase is simple request for clarification.
Please denotes
civility and
Explain is what one does to be
accountable in a
democratic country. One should also
explain the meaning of value-laden words when used against people in a
perjorative sense.
The expression in Australia has become a cliche that most people don't immediately associate it with Pauline Hanson, and in fact the phrase has become a noun in its own right. Examples include:
Essendon captain James Hird has been sent a 'please explain' from the AFL regarding comments he made on umpires (from the Essendon Football Club website)
The ASX (Australian Stock Exchange) has sent a "please explain" letter asking why Sofcom did not say whether it would seek shareholder support (article in the Sydney Morning Herald)
(Indonesian) Minister for Political Security Affairs Susilo Bambang Yudhoyono sought an official "please explain" from Singapore (article in Melbourne's The Age newspaper)