Sure, that is the normal and expected behavior. There is nothing wrong with the resulting tar file. That message is just a warning.
If you want that message is not displayed just specify the path without a absolute specification.
Code:
# cd /
# tar -cf /tmp/backup.tar etc lib boot
# cd /usr
# tar -cf /tmp/X11.tar X11
This is in that way so you can restore a backup in another location. e.g. suppose your /usr partition is offline and you are mounting it on /mnt/temp.
Code:
# mkdir /mnt/temp
# mount /dev/hda7 /mnt/temp
# cd /mnt/temp
# tar -xpf /tmp/X11.tar
cheers