Because it isn't peer to peer?
Most Skype users are behind firewalls or NAT routers. The software CANNOT connect directly to another node because there is nothing to connect with. How does it even know the IP of the other person or if they're on/offline unless its registered on a central place? Instead both endpoints connect to a server which will play matchmaker and route messages from one to the other, or if possible provide a direct P2P path.
I expect traffic is encrypted to and fro, but if you were worried about backdoors then double encrypt your traffic or don't use Skype at all. For example use Jabber. Jabber also requires you connect to a server (for much the same reasons as Skype) but you may if you wish set up your own private Jabber server and even encrypt the traffic if you like. Wikileaks uses Jabber for example although I expect they far more reason to be paranoid than you do.
As for NSA helping secure windows, why wouldn't they help with that. If you haven't noticed Chinese, Russian, North Korean, Iranian hackers have a very strong motive to attack US systems. It's in the US governments national interest to make its computing infrastructure as secure as possible.