pd.save/load does not recreate some dataframe attributes
Ran into this while trying some dropna and merge type operations
on a pickled data frame I loaded back i, It died with an `AttributeError`
on `self._known_consolidated`.

``` python
df = pd.DataFrame( [[1,2]])
df.save("/tmp/1.pickle")
print df._data._known_consolidated
df2=df.load("/tmp/1.pickle")
print df2._data._known_consolidated
```

looking at `internals.BLockManager.__setstate__` and `__getstate__` [Here](https://github.com/pydata/pandas/blob/master/pandas/core/internals.py#L547), those
attributes are not saved off. 
a quick fix would be to just init to false on load, But is there a legacy reason
why getstate drops everything beyond the 3rd arg or can that be extended?
is there a versioning mechanism?
