This is a formal way to direct people's attention to some information. For example, if you're selling something on the internet that has to be mailed, your site might have this sentence:

Please note that delivery may take up to three weeks.

One reason to use "Please note that..." is because it can sometimes seem rude if you say or write things directly without any introduction. For example, if you're making a short introduction at the beginning of a conference, you might announce:

Food and drinks are not allowed in the auditorium.

But that could sound a little too strict. This sounds nicer:

Please note that food and drinks are not allowed in the auditorium.