How can I prove control of HD wallet through message signing? If I sign a message with one of the address from an HD wallet, does that prove control over the rest of the addresses created and will be created inside that HD wallet?
It proves that you control all children of that address (i.e. the ones further down the chain). It does not prove that you own the parents of that address (i.e. the ones further up the chain), since it's not possible (AFAIK) to go from a child to a parent key.