For two-class domestic flights, NF is correct.

Now, did you book your flight as a "direct" flight (one flight number)? If so, they are correct, and you cannot request to have the segments upgraded separately (one of the big reasons to never book a direct flight). If not, did you ever try upgrading online? That normally allows you to upgrade individual segments.

Now to answer your final question. If you cancel the upgrade before the flight goes to airport control, your original booking class much be available for the downgrade, or you will be charged the fare difference. Once the flight goes to airport control, as long as there are any Coach seats available, you can downgrade for no charge.