I enjoy the extra bit of information embedded in “They say they have letters for you.” This makes it clear that they are not showing them. They’ve got them secreted away somewhere.
Or it’s evidence that the servant can’t read and doesn’t trust the report on any piece of paper.
I mean…”They have letters for you” is the heart of the information. We don’t need “They say” – but the “They Say” gives us a reason to be suspicious, for whatever reason. It creates a bit of suspense, perhaps.