I don't like it. Just a personal preference for some guys. It might be an Oedipus Complex type of thing, or it could just mean they like hearing you refer to them as someone in a position of power and authority. Like a dominance kind of thing.
daddy I think shows that they are the one in charge. they might also want you to dress up one day and look like a little girl then he will treat you like his little girl and punish you. so make sure your comfortable with being called daddy