More polite or politer is the correct way to say it??

Both forms are okay. The single form, politer, politest is falling our of favour. It is used in older English. Nowadays, "more polite" and "most polite" are the more common way of saying things.

themselves

an intensive pronoun is a pronoun that ends in self or selves, such as himself, herself, themselves, yourself, ourselves. since band members is a third person plural, the correct intensive pronoun would be themselves. if the band was talked about as a collective noun, itself would be the appropriate intensive pronoun. intensive pronouns are used to add emphasis to the noun it's modifying which is why it directly follows it.

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