If you don't, then any mistype will probably corrupt the line being entered. Typically, you'll know when the previous line has been received by the remote side because some kind of response will be displayed.
Commands are case-insensitive, unless otherwise specified.
You sometimes need to enter sensitive information such as passwords. Needless to say, the information below is only the tip of the iceberg. For more information look at the RFCs. RFC1939 POP3 works by giving each message in your mailbox a number starting from 1. That number is how you tell a POP3 server which message you want to deal with.