That was one of the most missed and requested features on the MacOS platform.
Skype4B Peer-to-peer file transfer
But before starting to party hard, because you missed that feature to… There is one (big) drawback: It is a Skype Online Feature! No on Premises, at least for now.
Here is the announcement:
Peer-to-peer file transfer is enabled for Skype for Business Online. Users can now send and receive files while in a chat session by clicking the paper clip in the chat message input box. They can also drag files directly from the Finder to the chat message input box.
See the “Peer-to-peer file transfer is enabled for Skype for Business Online”?
And here is a picture from the same Mac, only with my on Premises User is used:
No Peer-to-peer file transfer on Premises
The April release also contains a few interesting improvements. The complete list can be found on the what’s new in Skype for Business 2016 page of Microsoft.