What does the word "letters" mean in Bourbaki text? On Bourbaki's "Theory of Sets", page 16, it says "$\int_0^1 f(x) dx$ represents an assembly in which the letter $x$ and the letter $d$ do not appear; and the assemblies represented by $\mathbb{Z}$, $\mathbb{N}$ do not contain any letters." This confuses me since it said before letters are those Roman letters, since those $x$ are not replaced by other assemblies, why we don't account them as letters? Thank you!
 A: They are giving you an intuitive insight into how their (ultra) formalism works:

If an assembly represents an 'object' (whatever that is), then the assembly contains no 'free variables'.

If you look for where the empty set is 'created', you will find a footnote showing the formal assembly representing that set; there are no letters in it. They then state they in the rest of their exposition, they will not be showing the 'assembly language code' that represents other objects they construct; they will 'loosen up' a bit, using the French language in their mathematical arguments.
The reader can take comfort in the knowledge that if an (apparent) contradiction ever occurs in mathematics (as they define it), their 'Group' will be able to start breaking things down into their formal 'code' and decide if it is a real contradiction (more than unlikely) or if a mathematician 'got sloppy' in drawing new conclusions. 
Since the majority of mathematicians would state that they are working under $\text{ZFC}$, the following abstract is of interest:
On Bourbaki’s axiomatic system for set theory
Abstract
In this paper we study the axiomatic system proposed by Bourbaki for the Theory of Sets in the Éléments de Mathématique. We begin by examining the role played by the sign $\tau$ in the framework of its formal logical theory and then we show that the system of axioms for set theory is equivalent to Zermelo–Fraenkel system with the axiom of choice but without the axiom of foundation. Moreover, we study Grothendieck’s proposal of adding to Bourbaki’s system the axiom of universes for the purpose of considering the theory of categories. In this regard, we make some historical and epistemological remarks that could explain the conservative attitude of the Group.
