Why are these FIRST sets not combined into a single set?
There are three $A$-rules, each one with its right-hand side: $aB$, $bAb$, and $Bb$. Each produces a set as its value for $FIRST$. $FIRST(aB) = \{a\}$, and $FIRST(bAb) = \{b\}$.

In its turn, $FIRST(Bb) = FIRST(B)$ (because  $B$ does not derive the empty string), and $FIRST(B) = FIRST(cB) \cup FIRST(d) = \{c\} \cup \{d\} = \{c,d\}$.

Naturally, $FIRST(A) = \{a, b, c, d\}$.