Airdrop is not dangerous. The airdrop program is a quick completion program. As long as I participate in the airdrop program, I have never found one asking to sign a message or something.
Most airdrops are just useless to participate so we are wasting our time by joining on these airdrops.
If an airdrop ask you to pay some eth as transaction fee or they ask for any kind of your wallet keys then they are scammers.