How to identify who sent me an iCloud message

There is no registry of a users actual name or personal information tied to an email address/phone number. They can say they are whoever then want. The same is true for the messages you send. The receiver cannot use your email/phone number and look up your name.

When you set up an Apple Account you do not provide any documentation to prove your identity. As with any message/email, you can refer to this Support Article to help recognize scams and phishing attempts.

Recognize and avoid social engineering schemes including phishing messages, phony support calls, and other scams - Apple Support