I am using Lync and Outlook 2010. My past conversations are not being saved. The "Save instant message conversations in my Conversation History folder" option is checked. In outlook there is no "Conversation History" folder. My history spooler located at C:\Users\myuser\AppData\Local\Microsoft\Communicator\sip_user@domain\History Spooler contains many .hist files. When I go to the conversations tab in lync and click "View More In Outlook" I get an error message stating "Lync is in the process of connecting to the Exchange server. This process may take a few minutes. Some features will not be available until the connection is complete. I have tried running the outlook.exe /resetfolders workaround and this did not work for me.
This looks like a DNS problem to me. If your sip-domain is different than the domain the Lync server is in, than you should add a _autodiscover SRV record to your DNS for the sip-domain that points to port 443 of your exchange server. This is necessary for the Lync client to be able to find the EWS services.