To set a information message for users when they use chat you should use the Set-CsClientPolicy. First create your test policy with New-CsClientPolicy (or clone a existing policy with this script https://www.ucunleashed.com/2300).
Then set the IMWarning
Set-CsClientPolicy -Identity Test -IMWarning “We saved this conversation. You’ll see it soon in the Conversations tab in Skype for Business and in the Conversation History folder in Outlook.”