Finally find the answer in microsoft forums here:
You cannot record with the Lync SDK, but you can record calls from a UCMA endpoint. You can create a conference that includes the UCMA endpoint and the other Lync clients, and then record the conference with the UCMA endpoint.
So the answer is no can't record all the conversation (audio and video), their is a work around using UCMA endpoint to record audio only. I think they should add this feature to the SDK.
Update
if anyone have same issue please vote by adding a comment in microsoft lync forum here to add it.