How come Jesus or anyone else never mentioned the 3 different kingdoms in the bible? Seems like a pretty important thing to forget to tell people about?

This is probably way overkill - but here is a great place with lots of references - including those in 1 Corinthians 15: 
 
Link

To answer the first part of your question, someone accepting a proxy baptism is also confirmed a member of the Church of Jesus Christ also so they are no longer a member of former faith but an LDS convert, if and only if they accept the proxy baptisms performed on there behalf.  
 
So once cannot accept baptism in the Spirit World and not be a LDS member.  
 
As for those who choose to remain in a non LDS faith you are correct they cannot obtain the Celestial Kingdom. Only persons who have received the nessicary ordiances of Baptism and Confirmation by the proper priesthood authority can inherit the Celestial Glory.  
 
Those who choose to stay in other faiths will inherit a lesser glory (terrestrial for the righteous and telestial for the unrighteous) according to there acts.

what is a proxy baptism

Proxy means to do something for someone else. For example, companies have votes and have proxy voters who do the actual voting for those that can't be there. 
 
The same is true for proxy baptisms. One person is physically baptized by proxy for someone else. A specific example is that I have been baptized for some of my relatives who lived many years ago. We do these baptisms in our temples. However just because I got baptized for an ancestor means that they automatically become members. We believe that someone who has died and has been baptized by proxy by someone else - will have the choice in the afterlife of either accepting or rejecting the proxy baptism. Make sense?

Im wondering why no one in this blog can explain the different levels of heaven. All i see is that everyone knows that you have to be baptized and married in the mormon church to achieve celestial level. Why arent the other levels explained . The other levels seem to be such a gray area. And where is the line drawn on what is considered living a good life and not. Everyone sins so who decides who was good or bad and where in the holy bible does it show the different levels? I know about different rewards but i have never read anything about different levels. I have a lot of mormon friends and no one can ever give me a straight answer.

Here are some additional links/references that might help: 
 
http://eom.byu.edu/index.php/Degrees_of_Glory 
 
http://www.lds.org/scriptures/gs/degrees-of-glory?lang=eng 
 
http://www.lds.org/ldsorg/v/index.jsp?locale=0&sourceId=d1ef9daac5d98010VgnVCM1000004d82620a____&vgnextoid=bbd508f54922d010VgnVCM1000004d82620aRCRD

http://www.lds.org/ensign/2005/04/messages-from-the-doctrine-and-covenants-the-three-degrees-of-glory?lang=eng 
 
http://www.mormonwiki.com/Celestial,_Terrestrial,_and_Telestial_Kingdoms 
 
http://en.fairmormon.org/Plan_of_salvation/Three_degrees_of_glory