When this issue occurs, you can't copy and paste any content of the first instant message (IM) in a Microsoft Lync 2013 (Microsoft Skype for Business) client until one of the following conditions is true:
The IM is replied by someone.
The conversation is saved in Lync 2013 (Skype for Business) together with the following message:
We saved this conversation. You'll see it soon in the Conversations tab in Skype for Business and in the Conversation History folder in Outlook.