Splitting Your Train Tickets on Heathrow Connect Trains is allowed and is when you purchase separate tickets for two or more sectors of the Heathrow Connect Trains rail route you wish to travel instead of just one more expensive through ticket without affecting your travel options in any way.
For example, if you wanted to travel on Heathrow Connect Trains from Station A to Station D, you would expect to buy a ticket direct from A to D. However, you may find it a lot cheaper to buy a ticket from A to B, and another from B to C and still another from C to D for a cheaper combined train ticket price. This is especially true when not all sectors of your journey are during peak time.
So, by buying several tickets that in combination make up your whole Heathrow Connect Trains route, you could massively reduce your travel cost and you will still travel on the same Heathrow Connect train, at the same time and most probably in the same seat but pay a lot less by using split tickets. This is what split ticketing on Heathrow Connect Trains is all about.