Scammers will pose as legitimate companies and try to get your personal info to use. It is a good idea to occasionally get a credit report, even if you don’t use credit cards that much. A credit report could show if there is any odd activity, like a scammer opening a credit card in your name. I would not be paranoid about getting the occasional scam letter - if you get lots and lots of scam offers, then you are on a scammer’s list somehow.
Mea culpa.
If you didn’t fill out an app, then there’s obviously no app they’re trying to complete, and have no need of one of your utility bills, or any other document from you.
Is there a prepaid envelope for returning the requested utility bill? If so, write FY! on it and mail it back on their dime.
I got those years ago, and after doing the mailback on each, they stopped.
Also works well on GOP solicitations, AARP crap etc.