Electrum or Bitcoin Core are probably two of the most well known and developed wallet. If you're sure that you can operate your wallet in an environment that is safe and secure, there shouldn't be any problems whatsoever that concerns security.

Your idea for signing message should primarily be proving the ownership of the address. Signing a message will prove that they are in ownership of the address and whatever amount of Bitcoins associated with that address at that point in time. You should be clear about the message and the context, specifically taking note of the purpose and the timestamp within the signed message.