In spoken Finnish, especially among certain age groups, you can also hear "pliis" - the English please spelled in a Finnish way :) It's mostly used for pestering, not for politeness. Also "pliis jooko" - please + yeah + indicator of a question, asking for someone to give a yes as an answer.
Exactly what it means. My Finnish mummi would say ole kilti ja and then get me to run an errand. Pretty please in British English would only ever be used sarcastically or by a wheedling child. It is a bad translation. I'd use it before asking a big favour. The nearest I can get in English is "kindly do something" but that is both a touch autocratic and very English. Be nice and do something is a more natural equivalent.
I can only really imagine kids saying this (when asking for something). I don't think it's a common phrase, I can't remember hearing it in daily life. What you might hear in school or at work are the forms "ole hyvä" and "ole ystävällinen", as in "ole hyvä ja lopeta" - be kind and stop, or "ole ystävällinen ja avaa ikkuna" - be kind (lit. friendly) and open the window. In any case these are sort of formal, polite phrases, and there are different constructs for politeness in casual situations.
It is a phrase used in the U.S.
(This does not mean it makes sense. Just that it is used. Therefore, some learners will understand.)
As shown by the number of questions from outside the US, it may be far too localized to the US to be a good phrase for teaching Finnish.