What you want is end-to-end encryption, not just encryption between Microsoft and the client.

Skype was rolling out end-to-end encryption using the Signal protocol, I don't know if everyone has it now.

In any case, it's only available for voice not video, and you have to know to request a "private conversation" since it's not e2e encrypted by default.

https://www.wired.com/story/skype-end-to-end-encryption-voic...