Dependencies in package.xml file

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What is "build_export_depend" tag used for ?

Please see whether the catkin documentation on that topic clarifies things:

If you export a header that includes <angles/angles.h>, it will be needed by other packages that <build_depend> on yours:

<build_export_depend>angles</build_export_depend>

This mainly applies to headers and CMake configuration files. Library packages referenced by libraries you export should normally specify <depend>, because they are also needed at execution time.

Also refer to build_export_depend in REP-140.

Two days ago, I built my package by using the command "catkin_make".

Did this build operation add that tag into xml file ?

No. catkin_make treats your package manifests as read-only, it does not add, remove or change anything.