I am soon going to be booking an open-jaw trip SFO-MSY outbound and AEX-SFO returning.

I plan to book the UA non-stop for the outbound. However, UA doesn't fly from AEX. So, I plan to book CO for the return (with a connection).

I priced this itinerary out, and both fares are one-way fares. The outbound has a restricted fare (non-refundable), but the return has an unrestricted fare. So, they could easily be written on separate tickets.

What are the advantages and disadvantages to booking these on one ticket?

Would they have to paper tickets in that case? Would booking them as a round-trip reduce my chances of being a selectee? Would it make it more difficult to make changes?

Thanks.