Laudrup replaced Brendan Rodgers before the 2012-13 Premier League season after the Northern Irishman left the Liberty Stadium for Liverpool, with Laudrup guding the Welsh outfit to their first major title with victory in the Capital One Cup.
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"It's a pleasure to work with [Laudrup] every day," Michu told reporters.
"The trainers and the training as well, because he is one of the best players that I could play [under] in my career.
"It's very important, I think he's a very important man, it's important for us too that he's still here with us and after this season. We are with him."
Michu has scored two goals in seven games in all competitions so far this season, well down on his start in 2012-13 when he notched four in three matches to begin his career with Swansea.
Swansea sit 16th in the Premier League after three rounds after losing their opening two matches and although both he and his club have started slowly, Michu is convinced Laudrup's team are stronger this season.
"It's going to be difficult to repeat last season, because we are in Europe now, we are in four competitions now and we have so many games this year," Michu said.
"But I will try to score goals, to work for the team like always I do but it's difficult.
"I think we are stronger this year, we have a lot of players that can score goals, so I'm very happy with the team this year."