If you posted your address somewhere on this forum and now you can sign a message from it, you can prove that you are not only the current owner but likely the initial owner.

However, it is applied if you want to prove that your account is not hacked (aka one of account recovery methods).

If you don't need to prove your account ownership, that step (signing a message does not mean anything) because if they hacked your wallet and stole your fund, they have access to your private key and can sign any message from that wallet.

How to sign a message
Stake your Bitcoin address here
Often, you need to prove ownership of the account with a PGP or Bitcoin signature

You didn't elaborate what you need but I shared these topics to help you understanding more about importance to secure your private key and sign a message as ownership proof. It is necessary when you need to make a trade, your trade partner will ask you to sign a message too.