(from http://www.skype.com/en/legal/privacy/#retentionOfPersonalDa...)
Retention of Instant Messages, Voicemail Messages, and Video Messages (Skype internet communications software application only)
Your instant messaging (IM), voicemail, and video message content (collectively “messages”) may be stored by Skype (a) to convey and synchronize your messages and (b) to enable you to retrieve the messages and history where possible. Depending on the message type, messages are generally stored by Skype for a maximum of between 30 and 90 days unless otherwise permitted or required by law. This storage facilitates delivery of messages when a user is offline and to help sync messages between user devices...
From Section 8 of that same document:
Skype may use automated scanning within Instant Messages and SMS to (a) identify suspected spam and/or (b) identify URLs that have been previously flagged as spam, fraud, or phishing links. In limited instances, Skype may capture and manually review instant messages or SMS in connection with Spam prevention efforts.