Thanks for the suggestion. Wouldn't I have to give the new person access to the contents of my private chat with someone else? If I create a new group chat, I can't take the file with me. If we weren't talking about confidential documents, they would go into a team, but that isn't the case.
When you add someone to an existing chat, you now get the option to control how much of that chat is shared (ie. the last day). You are basically promoting some or all of your previous chat into a new group chat.
Its also interesting to note that files you share in a chat are located in your onedrive, so you don't 'have' the file when it's shared by someone else with you. Your new colleague could just request access to the file.