I Don't Follow or I Don't Follow Skyrim News is a running gag, mainly said by Danz. The saying means that they don't know much about a subject or they're not an expert (i.e "I Don't Follow Pokemon News"). As with most recurring phrases of this type, it's usually used sarcastically.
During a conversation about Minecraft and the Enderdragon in their Serenity Mine series, Danz mixed up Skyrim dragons and the new Minecraft dragon. He repeatedly asked if Skyrim now had dragons, although he actually meant if Minecraft had dragons, which greatly confused Gassy. Danz was quoted saying "I don't follow Skyrim news" before realizing his mistake. The Creatures have since used the joke in many situations and the title for videos like Danz' "I Don't Follow Moving Newz!!!" and Seamus' "P.O Box In Case You Don't Follow Creature News".