Help Me Be Good About Being Rude really helps children see what behaviors are rude. I don't think they actually know that they are being rude. They need to be taught what is acceptable behavior and what's not.
Listen to Grandma read this great book explaining rude behavior and how to not behave in that manner.
(affiliate links are used)
Other Posts That You May Enjoy:
Help Me Be Good About Interrupting
Clifford's Manners: Book and Printout
Franklin Says Sorry