What boggles the mind is why on Earth wouldn't ANY new purchases be included in a Backup. Then hide the function under a menu command that is not discoverable through obvious procedures. What's super annoying is the caution COULD tell you where to find the function, but it's iTunes, so of course it doesn't. "Hey, thanks for the purchases you guys! You know that even though we could easily back it up for you RIGHT NOW, you need to do that in a completely separate process right? Good like finding out how. Because if you don't, I'm afraid our hand are tied, we'll just have to ask you to buy the same things all over again. Oh well!"
Funny thing for me is I don't buy iTunes downloads on the iPad, only the occasional app which SHOULD be retained as a purchase automatically in iTunes, but I STILL get the bloody message. I choose to ignore it as iTunes horrible software design has wasted more than enough of my life with it's sheer awfulness. (Currently finding alternatives for AirPlay and syncing devices so I can use iTunes as little as possible.)
Apple will do anything to make normal backups and syncing complicated, to manipulate people into using iCloud instead. I will NEVER store anything but the bare minimum necessary for mobile apps in iCloud. I would advise everyone here to do the same - they simply can not be trusted not to give customers the shaft in any way possible if it means an extra nickel in their pocket.