Okay, so I tried below as well with the same results. Not sure if there could be something more to it. To me it looks to be a simple ternary operator which should evaluate 2nd argument if the [Price Sgment] value is L. If not it should evaluate the 3rd argument. Here, it is always evaluating the 3rd argument.

THIS = IIF ([Item].[Price Segment].CurrentMember.MemberValue = 'L',

IIF ([Measures].[Month Rolling JOD] > 0.19, 1, NULL),

IIF ([Measures].[Month Rolling JOD] > 0.32,1, NULL)

);