You never know, a bot could be looking out for keywords for the NSA... The only thing that will save you is a
TFH
But seriously, I doubt MS keeps logs of every users convo's "just incase". E-mails are a different story, because they are kept on the server. If someone with a warrent forced MS to hand over the e-mails they just may. Or they could fight it like google did when the NSA tried to get search terms people had used.