I have gotten the message on my iPad as well, I have always been able to tap OK and not have the iPad lock up on me either.
"Locked" means when the iPad or iPhone is asleep. When you tap the sleep/power button you can put the device to sleep. When the iPad is set to backup automatically with iCloud, it should be plugged into power, asleep (locked) and connected to WiFi. I can not say that I have ever seen this occur, but that's because I never sync or backup automatically and never have. I so sync over WiFi and backup with iTunes. I backup with iCloud as well, but I always initiate the backup on my own.
Your device must be configured to backup or sync automatically in the settings.
For iCloud backups - Settings>iCloud>Storage and backup>iCloud Backup>On. I always turn it on when I am ready to backup, I backup and then turn it off so that I can sync and backup with iTunes on my Mac.
For WiFi sync - Settings>General>iTunes WiFi Sync. Your computer must be turned on and iTunes must be running as well in order to sync over WiFi, and you have to select Sync this iPad over WiFi in the iTunes Summary sync options.
If you want to more sure that you are backed up you can initiate an iCloud backup in the settings like I described above. Just tap on Backup Now after you get into the iCloud backup settings on the iPad.