SegWit DOES support sign message, but there weren't any standard about sign message so Electrum decide to make their own standard.
The only standard that i know is
https://github.com/bitcoin/bitcoin/pull/16440, but it's still on progress.
Exactly.
So, if you need to sign messages to prove that you own the funds, it is better to use a Legacy address. That's the only advantage of legacy addresses.