It means that if you are playing a level 1 Rogue, and your group lets you swap out for a level in Badass, you still have all the class features from the Rogue class. So, if you take another level of Rogue at level 2, you get the level 2 Rogue features. It's just a long-winded way of saying that swapping in levels of Badass keeps you doing what you already were, only you're more 'badass' while you do it.
