I was going to ask, what is the difference in terms of security? Like 0,001% of being hacked if I use a signed message and 0,00000001% if I use PGP?
Both Bitcoin and PGP use relative strong cryptography. I'd worry more whether PGP/bitcoin software i use has security bug rather than comparing cryptography security used by Bitcoin and PGP.
I just opened Electrum to post the full message, but I don't see like a signed message history or anything. 
Such feature isn't exist on Electrum and all wallet i've tried. But you could always either use note-taking software or visit Electrum GitHub repository to make feature request and see whether anyone interested to implement and maintain it.