Depending on whether your Advanced Security Gateway (ASG) or ProxySG is deployed explicitly or transparently, there are several steps of configuration you need to follow before intercepting Skype session traffic. Please check article 000032595 for more information on this topic.
However, if you are able to log in to your Skype account and initiate a chat session, but you are unable to call or initiate a video conference with other Skype users, you might be facing an issue that requires a different approach.
According to Microsoft as of November 30, 2016, Skype for Business uses UDP port 3478 for audio and video conference traffic. The ProxySG appliance cannot intercept UDP traffic, and for this reason, it will be ignored by this device. This traffic can be observed when taking a packet capture from a client machine while initiating a Skype call. Even though the article does not give information regarding Consumer Skype, lab experiments show that this Skype version also uses UDP port 3478.
UDP port 3478 is typically blocked by the firewall.
Make sure that all your internal network devices between the client machines and Skype servers are allowing traffic on UDP port 3478.
No changes are required on the ProxySG or ASG.