I've asked similar question before in this formum, but I keep getting a bit frustrated about this kind of new internet connection attempts.
How should I (or any of my users) possibly know if "SkypeApp" is ok? Sure, the IP points is Microsoft owned, but how sure am I just because of that? Could it be a via Azure (which means from anyone)? Form what I found Azure has 22.214.171.124/28, 126.96.36.199/32","188.8.131.52/32" in the 40.115.* range so probably not. Is that enough?
And when it comes to the location, who can I get details about that so that I know exactly which binary it is that asks? So I can check if it is a signed Microsoft binary for example.