There are restrictions that come with the feature. You can only maintain one Private Conversation per device at a time. You can switch conversations to other devices, but you'll only see the messages sent and received on a given device. And of course, it's optional -- unlike services such as WhatsApp, you can't default to end-to-end encryption. Still, this gives you a reason to stick to Skype for your most sensitive discussions instead of having to split your attention between apps.