That only works if you have the private key for the address, which most exchanges won't give you. What exchange are you using OP?
It also requires you to give the private key to someone else, which is a bad idea.
You're not giving the private key to someone else. The code is open source and it's all client-side JS. It's probably safe, but if you want to be even more sure that the website hasn't been tampered with, you can download the script yourself and run it locally using an offline computer.
i would suggest to use electrum to sign a msg is pretty easy to do with their user interface try out...
This is a good idea, although it would depend on why you need to sign a message from an address in the first place. The deposit address that C-CEX gives you isn't yours because it belongs to and is controlled by them. And you can't use it to sign a message since you can't sign a message from an address that you don't control.
Why do you want to sign a message OP? Is it to prove that you have control of the coins in that address? If so, then it would probably be best to transfer the coins on the exchange over to an Electrum address and sign a message from that instead.