Checking URLs passed in messages isn't incompatible with secure communication. It's easy enough to look at a text message that's going to be sent and break it into parts (URL and non-URL). Encrypt point-to-point the non-URL parts, and encrypt the URL parts such that the central servers can read them (and verify that they're not pointing to bad stuff, which is a very valuable service to provide to the vast number of r…
I guess that depends on your definition of "security," and perhaps of "practicality." Where I'm from (i.e. a grad student whose research is on practical secure multiparty computation), a practical system for checking URLs in a privacy-preserving fashion is still very much a research topic.
"It's easy enough to look at a text message that's going to be sent and break it into parts (URL and non-URL). Encrypt point-to-point the non-URL parts, and encrypt the URL parts such that the central servers can read them"
How is that secure? Now the third party knows what URLs you are sending in your messages.
"The URL checks could also be anonymized."
Sure, but that is not what you are seeing here. You would need a mix-net of some kind, one in which the users themselves are participating (to ensure that there is at least one honest party). It is technically possible...but you're not going to see it happen, not any time soon. With the FBI talking about building back doors into everything, what incentive is there for a company like Microsoft to actually make such a secure system?
When it comes down to it, most Skype users are too uninformed to even know how their software might betray them. On the other hand, the Justice Department could create plenty of difficulty for Microsoft if they failed to cooperate. Whose side do you think Microsoft will choose?