The answer
No. Receiving a tiny UTXO does not grant a sender access to your private keys. The privacy danger arises if that dust later gets spent together with other UTXOs or induces a malicious interaction.
What to do next
Ignore unsolicited messages and consider coin controls to avoid spending suspicious dust alongside unrelated coins.
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Frequently asked questions
Is receiving dust the same as signing a malicious transaction?
No. Simply receiving bitcoin requires no signature or approval from the recipient.