I'm pretty sure you can't create signed messages with literally any custodial exchange. While technically the custodial exchanges can do it because they have the keys to the exchange's wallet addresses that you're using, their systems are simply not designed for that.
You can't create signed messages using custodial wallets because to sign message, you need your keys created by your wallets for you and exchange wallets are custodial, and centralized which means they hold they keys to your wallets. Not your key not your coins.
I don't know if it is possible or not to create a signed message with Binance. If possible then how to do it? I am talking about Binance because I am familiar with this wallet.
Binance isn't a wallet mate don't get it confused. It's an exchange and a centralized one at that. You may want to do some research on what the difference is between Centralized and non centralized exchanges. You should avoid using exchanges to store your coins as they have full control over your wallet. Anything can happen at anytime and your coins might be lost. So it's an exchange and doesn't have the ability to do some other functions a real non custodian wallet can perform.