On the Classroom -> Messages page you can see your entire chat history, but if you only want to view one single lesson's chat history you can do that too. This can be particularly helpful for printing.
Option 1, From the Messages Page
On the Classroom - Messages page, click the icon here:
Option 2, From the My Calendar Page
You can also get to individual lessons via your lesson history on the Schedule -> My Calendar page. Make sure you have "View Past Lessons" selected so that you can see your past, rather than upcoming, lessons then scroll down the lesson you're interested in. There you'll see a link to view its specific chat messages: