I believe the reason you are having trouble understanding the concept is due to a poor usage of colors in the diagram. Don't focus on the colors, but on the concept. It's the same for both replication events. Each strand of a double helix is used as a template to make a new complimentary strand, giving rise to two new DNA helices from the original. In each new double helix, one strand should match that of the double helix it came from before, as it was the template and is the same strand. While the other strand, the complimentary strand, has been newly synthesized to match the complimentary strand. In this diagram, every newly synthesized strand is shown in light blue.
Start by looking at the first double-helix of DNA (navy blue). During replication, the DNA is unwound and each navy strand is used as a template to create the newly synthesized (complimentary) strand, which is shown in light blue. In this first all navy double helix, you have two navy strands that are each used as a template strand and new complimentary strands (light blue) are synthesized to match . This produces the second two helices (navy and light blue). They each have one strand from the original helix (navy), and one new strand (light blue).
The process is exactly the same for the second replication event, only, a new color was not introduced to show a newly synthesized strand, so one cannot differentiate between the original (template) strand and the new complimentary strand. Both are pictured as light blue.
For the final replication event, only focus on the top navy and light blue helix first. Just as before, the two strands are separated from each other and are both used as templates to create a new strand. The navy blue strand is used as a template for a new light blue strand to be transcribed. This produces the top-most helix, where the original strand is shown as navy and the newly transcribed (complimentary) strand is light blue.
Just as the navy strand was a template, the light blue strand from the bicolored helix is used as a template strand as well to create the second all light blue helix. This light blue template strand is used to synthesize a new light blue strand, creating the all light blue helix. One of the strands is the original light blue one from the navy and light blue helix, while the other strand is the newly synthesized one.
It might've been easier if they had used a different color for the final round of replication, like orange. Then to show the newly synthesized strands in the final round, the 1st and 4th double helix would consist of a navy (original) strand and an orange (newly synthesized) strand. The second and third double helices would then have each had a light blue (original) strand and an orange (newly synthesized) strand. This would have made it easier to understand where each strand originally came from.