As mentioned, this type of sentence is an imperative. It gives a command (even if it's phrased politely).
In terms of how the comma should be used, it's stylistic more than anything else. Although it does change the technical composition of the sentence, grammatically speaking, it's up to you if you use it or not.
(If you're asking how it is being used here, that's something else.)
There are many different ways you could phrase the request:
Please explain why A is correct and B is incorrect.
Please explain why A is correct—and then explain why B is incorrect.
Please explain why: (1) A is correct and (2) B is incorrect.
And if I make a certain assumption, I could even say:
Please explain why A is correct even though B is incorrect.
As for the rest of the sentence, there is a subject but it is only implied. The elision is "You, please explain . . ." (Context would determine if you is singular or plural.)
Imperative sentences always have you as their subject, whether it's stated or not.
Not every sentence has to have every sentence element explicitly present in order for it to function as a sentence.
Interestingly, here is how Merriam-Webster (online) defines a sentence:
a word, clause, or phrase or a group of clauses or phrases forming a
syntactic unit which expresses an assertion, a question, a command, a
wish, an exclamation, or the performance of an action, that in writing
usually begins with a capital letter and concludes with appropriate
end punctuation, and that in speaking is distinguished by
characteristic patterns of stress, pitch, and pauses