All sentences below are mine.
I think (1), (2) & (3) are correct and mean the same:
(1) If you see mistakes in my text, say them to me please. — correct because "them" refers to "mistakes"
(2) If you see mistakes in my text, say these to me please. — correct because "these" = "these mistakes"
(3) If you see mistakes in my text, say those to me please. — correct because "those" = "those mistakes"
Do you agree?
I think (4) is correct but doesn't mean the same as (1), (2) & (3):
(4) If you see mistakes in my text, say it to me please. — correct because "it" = "that you see them".
That is:
If you see mistakes in my text, say it to me please. = If you see mistakes in my text, say that you see them to me please.
Do you agree?
It seems to me (5) & (6) are correct but I can't understand what "this" and "that" mean:
(5) If you see mistakes in my text, say this to me please. — what does "this" mean?
(6) If you see mistakes in my text, say that to me please. — what does "that" mean?