I don't think they are idioms, Radman. They are what we call phrasal verbs.
#1 and #2, show sb. to somewhere, are very similar in meaning, both indicating that the speaker asks someone to show "him" the way out of a room, house, etc. They are only slightly different in tones on account of the use of please,
#3 has a phrasal verb see sb. out. That could mean two different things according to the context:
(Source: LDOCE)1. to go to the door with someone to say goodbye to them when they leave
eg I'll see you out.
2. to continue doing something or being somewhere until a particular period of time or an unpleasant event is finished
eg Connolly has promised to see out the remaining 18 months of his contract.
She saw out her last years at Sudeley Castle.
And the please that followed let's see you out looks odd to me.
Hope it helps.
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