Heredoc is typically used for longer strings, or maybe even multiple thoughts, that you may want segmented on to separate lines.
As tuxradar put it: "In order to allow people to easily write large amounts of text from within PHP, but without the need to constantly escape things, heredoc syntax was developed"
<?php
$mystring = <<<EOT
This is some PHP text.
It is completely free
I can use "double quotes"
and 'single quotes',
plus $variables too, which will
be properly converted to their values,
you can even type EOT, as long as it
is not alone on a line, like this:
EOT;
?>
In your case, it'd make more sense to simply echo out your string.
$message = '<p style="font-size: 9px; font-family: Verdana, Helvetica; width: 100%; text-align:left;">Clcik to remove <a href="http://www.mysite.com/remove.php?email=' $email '">clicking here.</a></p>';
echo $message;