My friend "Alice" (a Chinese national studying in the US), recently sent a present to her friend "Bob" in the Chinese army and talked about it on Skype.
The Chinese Army found out that Bob was receiving a gift from the US and tracked down the relevant Skype conversation. Bob was interrogated about Alice and what the gift was for.
Microsoft complies with all governments' legal requests, as it should. I have no doubt the US government has made similar requests of MS.
Skype's original protocol made eavesdropping harder, but not after the changes Microsoft made.
[0]: http://arstechnica.com/business/2012/05/skype-replaces-p2p-s...