There were some fairly large privacy concerns that arose early in the life of Skype. Microsoft has tried to allay those fears in recent times, but the integration of end-to-end encryption using the open-source Signal Protocol is the strongest privacy move they've made to date.
https://www.notebookcheck.net/Microsoft-brings-end-to-end-encryption-to-Skype-in-collaboration-with-Signal.277934.0.html