Are we learning wrong English In China?

I have been learning English since I was 12 twelve. And I remember in the first class my English teacher said, "Sit down, please." and We replied, "Thank you." But recently I recognized that saying "sit down, please" isn't polite. When your boss is angry, he may say it. So we always get messages about how Chinese being rude in other country countries, and we don't know why. Are we learning rude English?

No, it is not rude. Remember that words are only part of communication. Tone of voice, facial expression, etc., also help form the message.