It's referred to as soft targeting (casting a single skill on a target, then going back to your main target) and hard targeting (changing your main target).

When you cycle with left/right based on your current target filter, up/down through your party list, or L1 + up/down through your enemy list, that starts off by soft targeting each person or mob as you're cycling through. To hard target one of them, confirm the selection with the X button before using a skill on it.