We did not learn that Microsoft "datamines IM conversations". All we know is that Skype (like other IM services) has a URL checking service. It's possible that only the URL is sent to Microsoft outside of whatever normal encryption Skype uses.

There may be some technical questions we might like answers to (why do HTTP URLs apparently not get scanned; why does it only do a HEAD request), but the most obvious answer is that it's some detail of MS's anti-spam/phishing system.