Hello Daniel,
As of this moment there is no direct way to retrieve the conversation with Bing AI. However, you can try this steps:
1. Try to search something with Bing AI. Once it's up look for a three line like a burger icon. See attached image.
2. Click the three line.
3. Click on Search history.
4. Below activity you can see all your history which includes the one you had with Bing AI.
Regarding on your follow up question.
To use Bing chat in creative mode, you need to open Microsoft Edge and go to bing.com. Then, click on Chat and select "Creative" under "Conversation style" . If you don't start with a phrase like "create an image" or "generate a photo", Bing will just search for an image with your description.
I hope this helps you.
Kind regards,
Jayzar