You already have a hardware RAID controller in that server--there's no need to create software RAID partitions/devices.
The SAS RAID controller in your PE1955 is a true hardware RAID controller, so it presents the OS with a single "disk" i.e. one big logical drive, instead of individual drives.
Since the OS only sees a single "drive" it gives you that error when you attempt to configure software RAID.
In summary, you should be good to go, so long as you have defined the logical drive (the combination of the two physical drives i.e. in this case, a single drive, as it is a mirror) within the BIOS of the RAID controller etc.