Yeah that took me by surprise too when I learned that couldn't sign a message proving ownership of a multisig address.  

Bitcoin talk forum explaining that it is impossible (in 2016).  

https://bitcointalk.org/index.php?topic=1576803.0

Then more recently (2021) Craig raw explaining why it is currently not a feature.  

https://github.com/sparrowwallet/sparrow/issues/193#issuecomment-1117139854