If you're worried about your privacy, you may want to read this new post from BetaNews. The site warns there's a new Cortana feature for Skype on mobile for both Android and iOS. This new opt-in feature provides in-context assistance, allowing Cortana to offer suggestions based on your chat:
"With Cortana's in-context assistance, it's easier to keep your conversations going by having Cortana suggest useful information based on your chat, like restaurant options or movie reviews. And if you're in a time crunch? Cortana also suggests smart replies, allowing you to respond to any message quickly and easily -- without typing a thing," says The Skype Team.
The flipside of this is that Microsoft's Cortana service will constantly be reading your private Skype conversations. So before you activate this feature, it might be worth it to think about the privacy implications of Microsoft analyzing whether you type.