pin code is last authentication. ussd response tells exactly for what you are entering pin for.
However still instead of relying on that message on screen, u are trusting that stanger then only two things can be said.
Either you lack the basic knowledge to understand how it works or your greed prevail over your understanding at that time.
I think its more of a second case imho, this is not new previously people got fooled by those talktime transfer via ussd code.
one of my uncle lost his entire talktime in greed of lower tariff plan offer lol.