That's an excellent question and no I don't think it's been answered anywhere yet. It depends on the round. On most rounds the levels are constructed so that they just add layers on top of each other, and this one is one of these: if an icon fits Extra hard, it also fits Hard, and if it fits Hard, it fits Normal. So this means that the set overall will be considered as the easiest level that all of the icons fit (so for example, if half of my set fits both Normal and Hard, and the other half only fits Normal, the set overall is Normal, but this is definitely allowed!). These rounds are kind of easy to do because you don't need to worry about the modes that much, you can attempt the hardest one and always revert back to an easier one if you can't make it work.

On some other rounds where the modes are more distinct, the attempted mode should be chosen beforehand and the entire set should fit the same level (for example, the shipping round had a level for iconing your top N favorite ships and another level for making all icons out of the same ship, it wouldn't have made sense to switch between these levels in the middle of the set).