Hi,
Skype for business Online have only Exchange as Archiving:
https://technet.microsoft.com/en-us/library/mt843946.aspx
Microsoft Office 365 traffic (both signal and media traffic) is encrypted using the Transport Layer Security (TLS) protocol. Anyone who intercepts a communication sees only encrypted text. For example, if a user accesses Skype for Business Online IM, calls, and presentations while using a public Wi-Fi network, such as at an airport, the user’s communications are encrypted to potential interception by network “sniffers.”
Skype for Business provides archiving of peer-to-peer instant messages, multiparty instant messages, and content upload activities in meetings. The archiving capability requires Exchange and is controlled by the user’s Exchange mailbox In-Place Hold attribute, which archives both email and Skype for Business contents.
All archiving in Skype for Business is considered “user-level archiving” because you enable or disable it for one or more specific users or groups of users by creating, configuring, and applying a user-level archiving policy for those users. There is no direct control of archiving settings from within the Skype for Business admin center.
On premisse deployment can have a archiving role if you don't want to use Exchange. See more information about the archiving role:
https://technet.microsoft.com/en-us/library/dn951419.aspx
Greetings,
Erdem
