1. Skype itself is a closed-source, proprietary computer program, and you have no way to know what it is actually doing at any point in time.
2. All communications, including audio, video, text, and file sharing, are passed through Skype's (Microsoft's?) servers, and is readable by them.
3. If it is readable by Skype (Microsoft?), then it is readable by any government agency with access to their servers, whether by court order or voluntary participation.
It's your call.