It does indeed seem Plus! is not logging any conversation which Skype has over the Messenger network. You can identify these type of conversation by the 'via
Messenger' line at the bottom of the conversation window.
I am not sure why this happens, but Trillian has been having some
issues with Messenger contacts over Skype too. The blame it on the Skype development kit (SkypeKit) which has to be updated by Skype to support this. Not sure if Messenger Plus for Skype uses the same kit.
Conversations 'via
Skype' should still be logged. If those aren't logged, make sure Plus! is running properly (you see the Plus! sidebar) and logging is enabled in the Plus! settings.