The reason you receive this message is because Windows automatically prevents Skype from running as a background process in Battery saving mode.
To prevent this message and conserve all functionalities, follow these steps:
1) Go into Settings. Then select System. Afterwards, select Battery
2) On the top, under the battery life estimate, you will see a choice named Battery usage by app. Select this.
3) This will give you a list of apps and their impact on the battery. Find Skype in this list.
4) Select Skype and uncheck the choice written "Let windows decide when this app can run in background" (I use a french OS, so the exact text may differ.)
5) Then underneath, select the choice written "Authorize this app to run in background."
Skype will now be able to run without limitations even on battery saving mode. The message discussed above will no longer be displayed when switching to power saving mode.
*Note that this applies only from Windows 10 version 1607 and higher. I highly suggest updating windows if you have an earlier version.
Edit: You cannot disable a single notification in Windows 10. It is either all the notifications are enabled or disabled for a single app or service.