Teams and Skype for Business Online both capture IM conversation records that can be found by Office 365 eDiscovery (content) searches. All of which is good, but if you ever get around to performing eDiscovery and need this information, you’ll find that Skype for Business Online conversation transcripts are easier to use than the individual copies of conversation contributions captured by Teams.
Microsoft extends the Office 365 data governance framework to cover conversations in Teams. Office 365 captures chats as items in Exchange Online mailboxes that are discoverable with content searches. And audit events work too!