This is really a question you should address with your organization.
Here's the official documentation covering this topic though: https://learn.microsoft.com/en-us/mem/intune/user-help/what-info-can-your-company-see-when-you-enroll-your-device-in-intune.
Intune, in and of itself, has no methods to directly access messages in Skype or WhatsApp, however, once a Windows device is managed, many things can be done outside of Intune by running scripts delivered via Intune. If you have information on a device that you do not want your organization to have visibility or access to, you should use a different device or clean up those applications and data.