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The word "please" is similar to "kindly". But somehow when I thought of using them, the approach is kind of different.

When using "please" you'd like to ask for assistance. While using "kindly", somehow seems like giving a direct command.

Do they really have difference or it just has to do with how you deliver it?

  • I kindly ask you to leave the room (if you don't, I'll throw you out). Please, leave the room (If you don't, I will ask kindly) – SovereignSun Jul 3 '17 at 15:36
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I agree with the nuance you describe. Using the word, "kindly", implies that you are obligated to comply. Using the word, "please", implies that your compliance is optional. However, if a person, in-authority, uses the word, "please", they may be politely communicating your obligation to comply.

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