Agreed, Along with removing the ability to delete individual converstations, this has to be one of the most frustrating things Skype has done to date......Microsoft insinuating it's big brother mentality?????
Well, there is a way to back it up and export it. Though it requires going under the hood a bit. Nothing bad though - and a lot of people have done it with previous versions of Skype and OS X.
(Just put that in your address bar, as this forum doesn't allow links.)
Basically, just follow those easy steps (if the Library folder is visible to you, then just ignore those parts)
Based on a quick test, it looks like you can highlight text and copy and paste into another text document. You can also 'select all' (command-a on a mac), copy and paste into another document. Not ideal for a huge looong history but it's something..