At this time, applying a policy to all Skype for Business conversations in your organization isn't supported. If you want ...

@At this time, applying a policy to all Skype for Business conversations in your organization isn't supported. If you want to retain Skype for Business conversations, you'll need to turn that location on, then manually choose the users' whose conversations you want to retain.
If you choose Office 365 Groups, the policy will apply to content in the group's mailbox, site, files, conversations, and OneNote. Support for content in Planner, Yammer, and CRM coming soon.