It means you were in different booking classes for the different legs.

Each cabin (First, Business, Premium Economy, Economy) is actually further sub-divided into classes based on things like flexibility, whether you can cancel without penalty, etc etc. In economy only the more expensive classes (Y, B and H) earn full mileage and any tier points. The lower economy classes earn 25% miles and no points.

Also, frequently on FlyerTalk a single letter is used as shorthand to refer to the entire cabin, so you'll see F, J, and Y a lot -- these refer to First, Business, and Economy respectively.

Hope that helps!