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Yes

There should be a comma after the word "questions" to indicate a natural pause between the phrases "should you have any questions" and "please do not hesitate to call me". 

Commas are used to clarify the meaning of a sentence for readers and break it into meaningful parts so that it is easy to read and comprehend. 
Yes. In the English language the comma is a separator. Without the comma placement in that sentence, it would become a run-on. This is known as an if/then statement. Another example of its usage is: If you need anything at all, please ask. When you feel you are presenting an if/then statement, make sure to add a comma.