That picture is from the Tiny Umbrella (TU) log. In it, TU is telling you what blobs are/are not saveable by that program. As of today, the only firmware for which you can save blobs is iOS 5.1.1. All the others have been "turned off" by Apple, which is why you see the notices from TU saying that it didn't save those blobs.
With TU open, click on that General tab. It should show you what blobs were saved for your iPad. The only one that should show is for iOS 5.1.1, which is to be expected. If that blob shows in that General tab, you are good to go and need do no more - all the blobs you can save have been saved.
And yes, Cydia does automatically save all available blobs for your device the first time opyou go there. However, I am a paranoid, nervous Nellie. So, I run TU, just so I can have a spare copy of all my SHSH blobs. YMMV.
If you have 5.1.1 showing in the General tab, yay. Else, holler back and we'll see what might be the problem (cause they SHOULD be there).
P.S. And since we are talking about jail breaks and such, I've taken the liberty and moved your post over to the Hacking section. Thanks for your understanding.