Thanks for the question and my apologize for late response.
When we re on third party website and it ask for authorization via steemconnect, we can be sure only if in address bar of our browser is steemconnect.com. Third party websites use steemconnect as "social login" (external login) and they haven't anything with our username/wif.

In general any website who provide login with steemconnect can be trustworthy. But as additional security measurement first check https://steemprojects.com/ or http://steemtools.com/ to find official supported projects for steem/steemit. That's how we can be sure.