“Please.” Gideon is polite, unassuming, even perhaps doubtful, as if he might be turned down.
“show me a sign.” Gideon is not yet really trusting that he has Yahweh’s support. God had to give Moses signs too, and the signs had a “voice” as if they themselves spoke (Exod. 4:1-8). The Jews demand signs (1 Cor. 1:22).
“that you are speaking with me.” This is almost idiomatic. Gideon is not as much speaking to the messenger as he is speaking directly to Yahweh, although he might be looking at the messenger.