What arena were you in when you got "Unfollow"?
If the option is disabled, like it is in the Melee arena, you should see "Follow Disabled".
The option puts the player who is in a sortie, in view and follows them. Right now it will be used for the tournaments so players who have been killed can watch the other players fight.
If the player you are following dies, then you are placed back in the tower (a little bit of animation here). Or you can unfollow the player you are following and select another player to follow.