So it means like "We said it here first, and you must remember this fact", right?
(P.S "the inside"? :? )
Well, you really don't have to remember where you heard it per se. It's more like they want to let you know that they are in the know (i.e., they know what's going on in the world), and because of that we should tune in to their station or buy their paper/magazine instead of some other company's.
Shane's got the inside story: He's close to the original sources (i.e., Mike and Ronbee); He may even know them; in Shane's case though, he was just making a joke re: Mike and Ronbee running away together. There are two situations when people run away together: 1) run away to marry secretly, and 2) run away from committment: one's family, job, friends, ect.