We have earlier seen “Recorded calls folder” appearing in Windows 10 Mobile starting Build 10149, though the feature has yet not arrived in the native Windows 10 Mobile voice recording app. But now it seems on the way and the UI shown above doesn’t look specific to Skype but to the native call app on Windows 10 Mobile. So, may be the next Windows 10 Mobile build brings some really nice new features including “integrated Skype app” and Call Recording.
Thanks Wazid & Keshav for the tip, Cheers!!