Above any current messages displayed from this contact, you see a list of options that says "Show messages from:" followed by a list of time periods.
The folder is there, but AppData folder is always very well hidden.
It is not needed, and people said it's only needed during interview stage, however, sometimes, the consulate officer doesn't even asking or looking at the evidence during the interview.
I started doing it from day 1, which was March 30th last year.
One need to click on Save Current Conversation or Save all Conversations option.
For added protection, back up the registry before you modify it.
It is a small app that can be installed on different devices: computers, laptops, tablets, mobile phones, smartwatches, Xbox One console, and so on.
This software will then provide users option to save the resultant files at their own desired folder or storage path.