You can indeed sign messages with electrum.
Make sure to download it from
https://electrum.org/#download. And only from this site.
Simply use the executable for OSX.
And, to be on the safe side, make sure to veirfy the signature of the file.
Then connect your nano s with electrum just like described on the website you have posted.
Afterwards you can sign a message,
doing as described here.
Note, that you can NOT sign message for your segwit addresses (technically you can, but there is no standard implemented yet. Messages signed with electrum will only show as valid when verified with electrum).