People should ask for a signed message when trading with someone and the trade would involve them taking any kind of risk. If there is no risk on a trader's part, then there is no reason to ask for a signed message - for example if you are selling me 1 BTC for 200 LTC and our agreement is that I will send you 200 LTC after I receive 1 BTC from you then I have no reason to ask you for a signed message because I am taking no risk.
It is a good practice to always provide a signed message whenever trading with someone, especially when giving an address to send to as when a dispute arrises you can simply ask your trading partner to provide the signed message you provided and the blockchain should provide the rest of the evidence.
I am not talking about already established members/members who already know the meaning of a signed message or how to read it. Scams mainly take place with newbies. Very rarely I have seen established members getting scammed. The scam accusation boards are filled with claims from newbies.
Some don't know the meaning of escrow/signed messages/account sales. They get scammed mainly because of the trust or by an old account that's trusted. I know that it happens very rarely as mainly accounts are bought for Signature Campaigns but some are bought to scam as well and this has been proven to be true as well. A person can go about editing/deleting all his previous messages which reveal the original account holders identity and in that case, a signed message would not work. It would be only theymos who could get back the deleted messages/edited comments.