I understand that the messaging history from Facebook, Gtalk was removed from the Outlook.com.
This was announced and also the folder "Messaging history" was removed.

When I switch to Skydrive.com the messaging history is still available without the possibility for me to delete it.
Is there any way how I can remove the history so it will not show in Calendar.com, Skydrive.com, People.com?

This clearly shows that the history is still stored on the servers in the MS cloud.