You dont have to go into advanced anymore with the new tiny umbrella. The Save SHSH button will save for all firmwares that SHSH is available for the device.
SHSH and your current firmware are two separate things! Definitely save your 4.1 SHSH soon using TinyUmbrella... you're not required to be jailbroken or on that particular firmware to get the one that Apple is signing.
EDIT: Sorry so late, I had the message typed and forgot to hit post reply until later.