Eu resolvi isso alterando esta linha:
var credentials = MongoCredential.CreateMongoCRCredential("admin", "skMongo", "(my password)");
para isso:
var credentials = MongoCredential.CreateScramSha1Credential("admin", "skMongo", ("my password"));
var credentials = MongoCredential.CreateMongoCRCredential("admin", "skMongo", "(my password)");
var credentials = MongoCredential.CreateScramSha1Credential("admin", "skMongo", ("my password"));