Bit basic but here goes.
1. What is the difference between backing up all mailboxes and the information store? Pros/cons of each?
2. Shadow Copy Components - System State. Should I be backing these up? How would I use them, what kind of data does it restore?
1) You cannot use mailbox backups to rebuild and Exchange server, only to restore individual items. But with GRT, you cna restore individual items from a Stores backup
2) Only if you want to be able to do a full Disaster Recovery of a machine