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).

On Skype v8.41.0.54 for mac, during a call just move your mouse cursor over the mic icon and wait a few seconds : a pop-up menu appears and you will be able to adjust the volume of the conversation without altering the global volume of your mac.