End-to-End encrypted communications cannot be read by the communications provider (in your example, Microsoft), while normal communications with transport encryption like Skype could be read by the provider if they chose to. Typically governments would only see your communications if they had a co-operation with Microsoft that would disclose your messages or if they were reading your communications from a different channel like getting access of the device you are performing the communications onto.
The best advantages of End-to-End encrypted chats is the two things that you mentioned already. A third advantage is that end-to-end encrypted communications cannot be tampered with as the provider only sees encrypted data that it cannot decrypt and change.
E2EE will count for message contents, but possibly not count for metadata like the length of a communication, good example of what metadata could infer is written here: https://ssd.eff.org/module/why-metadata-matters