Based on the last example ("Oui, je le veux"), why can't you, in the first example, simply use the same construction, and say "Non, je ne le sais pas"?
In other words, when do you add in "le faire"? Is there a rule??
OK. I see that this has been asked and answered below. I still think that you could use either construction: (a) Non, je ne le sais pas. (b) Non, je ne sais pas le faire.
Similarly, it looks as if you can use both forms with the first example too: (a) Non, je ne sais pas le faire. (b) Non, je ne le sais pas.