What does it mean if IPSW file is not signed anymore?
Easily spoken, you could say ipsw files are not complete.  They're missing that so-called signature.  It's like a contract; it has no value without the signature.  Every time you install new firmware on the iPhone, iTunes calls to the Apple servers and ask for that approval signature.  For numerous reasons, Apple doesn't give out those signatures for older firmware versions.

There's not much you can do.  The only thing you can do is downgrading to 8.4.1 and hope one day somebody releases the jailbreak for it.  But for now, you're stucked.

UPDATE: As of Oct 2015 Apple stopped signing 8.x.  As of Oct 2016 Apple stopped signing 9.x.  While this answer is not correct any more it still describes the general idea behind Apple firmware signing.