In my usage “Come again” has a sense of incredulity. I can’t believe you said that. I’m offended or shocked. I wouldn’t necessarily think you are being stupid but more likely rude or insensitive.

Thank you,Chris,Michael,Bruno.

In my circles, it's a mild insult to a family member or friend roughly meaning "Are you stupid? I can't believe you did that/you are going to do that!"

In this "please say again" usage, this is (southern) British English, idiomatic, and not at all intended as offensive, in my experience. All it means is "I didn't understand ; please repeat." From a similar cultural background, "you what?" has similar meaning and often more aggressive or rude intent.

It’s antiquated or very elitist