Faster CPU means higher battery consumption? A friend of mine and I have the Samsung Galaxy Tab 10.1.

His tab is flashed with a custom kernel giving 1.2Ghz instead of the 1Ghz I have by default.

Using antutu benchmark, we saw what we expected, his device had a better score about 700 points.

My question is if his tab in comparison with mine will consume battery quicker.

On the other hand, having installed the CPU SPY and we saw that 1.2ghz and 1ghz are both used. 
The second question is does the device make use of the speed needed (from 216 to 1200) depending on the effort?
If the device smartly uses the right cpu speed neede, does the 1.2ghz means a new better alternative for heavy tasks right?
Yes you're correct. Android will use CPU frequency as required including deep sleep to highest CPU frequency. If Android uses 1.2Ghz for high end task it will consume more battery but on the other hand will finish the task quicker than 1Ghz.

Many custom ROM also allows you to change this CPU scaling behavior by changing the governor. For eg: if you choose governor for high performance then Android will try to scale CPU to higher frequency.