quick question:
how come etherscan connect wallet never prompts you to sign a message?
is this secure?

I think it sends the message if you have no wallet connected (asking you to confirm in the wallet, after accept the no-warranties message, but it do not send the signing message if you previously connected your wallet. Then, it just connects.

Alchemist. 
Block Builder. 
Creator.
Degen. 
Ethereum dev. 
Farcaster Framer.

Conclusion:

Usually, Siwe is useful for auth of a profile aka an offchain account aka they-want-to-know-you.

Ah, looks like you are asking about the siwe, haha

They are not using a backend or they do not have different clients for diff users. They do not need to know who are you. They don't care. The blockchain will do all the validations and verifications. 

Where someone uses siwe is cof they need extra offchain security