How to change the volume of Skype for Mac, independent from the system volume?
The functionality has not been removed, it is only disabled in the default settings.
In order to have it back, go to the Preferences, in the Audio/Video panel, and change the "Speakers" drop down menu from "Same as System" to "Built-in Output (Internal Speakers)" (or any other output you have available, I guess). This gives you back the Skype volume adjustment, independent from the System volume.
Once you change the preferences, the two extra menu entries will also be back in "Conversations" menu.  

I have checked this on Skype version 7.49 (274) under MacOS 10.11.2 (El Capitan).