It would be nice to have some indication as to whether or not the other person has backups enabled, but the issue is it wouldn't be a with-certainty indicator that your conversation won't be backed up since the other person could have it disabled but then turn on backups later.

Ideally it would be nice if you could opt yourself out of having any conversations backed up, but I'm sure to Apple the privacy benefits doesn't outweigh the amount of customer support hours that would be wasted explaining to people why some of their conversations aren't transferring to their new iPhone.