Note: I think that's actually harmless and looks like some automatic URL scan service. But if Google would do this, Scroogled.com would pick it up within the minute with a huge scare campaign.
I saw this a couple of days ago, and had a bit of a look into it:
It's Microsoft SmartScreen. Skype sends the links that you send to your friends to SmartScreen (over HTTPS) which then automatically reaches out to the URL to see if the domain / file is likely to contain malware.
Calling that "reading everything you write" is just somewhat of a hyperbole.
Note that you can also turn off SmartScreen entirely if you're really worried about this. And it's not the first time someone has made ridiculous claims that SmartScreen is invading your privacy.
We entertained ourselves in the office for a few minutes yesterday by inventing insulting domain names to type in to Skype with HTTPS:// prefixes just in the hope that someone at MS actually ever looks at the logs. Childish, I know, but we couldn't help ourselves.
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