Background
I know that the Schwarzschild metric is:
$$d s^{2}=c^{2}\left(1-\frac{2 \mu}{r}\right) d t^{2}-\left(1-\frac{2 \mu}{r}\right)^{-1} d r^{2}-r^{2} d \Omega^{2}$$
I know that if I divide by $d \lambda^2$, I obtain the Lagrangian:
$$ L=c^{2}\left(1-\frac{2 \mu}{r}\right) \dot{t}^{2}-\left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2}-r^{2} \dot{\theta}^{2}-r^{2} \sin ^{2} \theta \dot{\phi}^{2} $$
(where we have also expanded $\Omega^{2}$ into $\theta$ and $\phi$ dependent parts but that's not tha main point).
Overdots denote differentiation with respect to affine parameter $\lambda$.
The Euler-Lagrange equations are:
$$\frac{\partial L}{\partial x^{\mu}}=\frac{d}{d \lambda}\left(\frac{\partial L}{\partial \dot{x}^{\mu}}\right)$$
Which is, for $x^{\mu}=r$, $\theta=\pi/2$, results in:
$$\left(1-\frac{2 \mu}{r}\right)^{-1} \ddot{r}+\frac{\mu c^{2}}{r^{2}} \dot{t}^{2}-\left(1-\frac{2 \mu}{r}\right)^{-2} \frac{\mu}{r^{2}} \dot{r}^{2}-r \dot{\phi}^{2}=0$$
Lets set $\theta=\pi/2$ for the remainder of this post.
The problem
I am happy with everything up to this point. Now my notes say:
However, it is often more convenient to use a further first integral of the motion, which follows directly from $L = c^2$ for a massive particle, and $L = 0$ for a massless one:
$$ \left(1-\frac{2 \mu}{r}\right) c^{2} \dot{t}^{2}-\left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2}-r^{2} \dot{\phi}^{2}=\left\{\begin{array}{lc} c^{2} & \text { massive } \\ 0 & \text { massless } \end{array}\right. $$
Why is this called a first integral? Isn't this just the Lagrangian? My notes from another course has this to say on first integrals:
When $L\left(y(\lambda), y^{\prime}(\lambda) ; \lambda\right)$ has no explicit dependence on $\lambda$, i.e. when $\frac{\partial L}{\partial \lambda}=0,$ then we have the first integral
$$ \dot{y} \frac{\partial L}{\partial \dot{y}}-L=\mathrm{const.} $$
So why does the above quote claim that the Lagrangian itself is the first integral? and why not $\dot{r} \frac{\partial L}{\partial \dot{r}}-L=\mathrm{const.}$ is my first integral?
Attempted resolution
Let's calculate $\dot{r} \frac{\partial L}{\partial \dot{r}}-L$, in the hope that it might reveal that $\dot{r} \frac{\partial L}{\partial \dot{r}}-L=\mathrm{const.}$ and $ L=\left\{\begin{array}{lc} c^{2} & \text { massive } \\ 0 & \text { massless } \end{array}\right. $ is the same thing put in a different way.
$\frac{\partial L}{\partial \dot{r}}=-2\left(1-\frac{2 V}{r}\right)^{-1} \dot{r}$
Then $\dot{r} \frac{\partial L}{\partial \dot{r}}-L$ becomes:
$$-\left(1-\frac{2 \mu}{r}\right) c^{2}\dot{t}^{2}-\left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2}+r^{2} \dot{\phi}^{2}=\operatorname{const}$$
Flip signs, then, compare the two expressions:
$$\left(1-\frac{2 \mu}{r}\right) c^{2}\dot{t}^{2}\bbox[5px,border:3px solid green]{+}\left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2}-r^{2} \dot{\phi}^{2}=-\operatorname{const}$$
$$ \left(1-\frac{2 \mu}{r}\right) c^{2} \dot{t}^{2}\bbox[5px,border:3px solid red]{-}\left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2}-r^{2} \dot{\phi}^{2}=\left\{\begin{array}{lc} c^{2} & \text { massive } \\ 0 & \text { massless } \end{array}\right. $$
We can see that some signs differ if I believe that the first integral is $\dot{r} \frac{\partial L}{\partial \dot{r}}-L$ and not $L$ itself. I am pretty sure though that the result I get using $\dot{r} \frac{\partial L}{\partial \dot{r}}-L$ is wrong, since we use the other result throughout the lecture notes and it seem to be working.
I am mostly happy with the relation:
$$ \left(1-\frac{2 \mu}{r}\right) c^{2} \dot{t}^{2}\bbox[5px,border:3px solid red]{-}\left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2}-r^{2} \dot{\phi}^{2}=\left\{\begin{array}{lc} c^{2} & \text { massive } \\ 0 & \text { massless } \end{array}\right. $$
This is true if the affine parameter is proper time and the particle is massive. (Then $ds^2=c^2d\tau^2$, so $ds^2/d\tau^2 = c^2$.) If the affine parameter cannot be proper time, then the particle travels with the $c$ and therefore it is a photon, which has null-like path, making $ds^2$ zero. I can make the leap of faith that if this is true for proper time as affine parameter it is true for non-proper time affine parameters.
I am also happy with the relation:
$$\left(1-\frac{2 \mu}{r}\right) c^{2}\dot{t}^{2}\bbox[5px,border:3px solid green]{+}\left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2}-r^{2} \dot{\phi}^{2}=-\operatorname{const}$$
because the derivation seems correct.
Question reapproached
What I am not happy with is calling the first relation a first integral. It is probably rightly called that, an exam question (PDF page 24, third paragraph from bottom) asking for (I think) that equation saying "[...] use a simpler expression given by the first integral of the geodesic equations." So I think there is something here which I don't get.
Checking algebra of Othin's answer
As suggested, lets calculate $\dot{t}\frac{\partial L}{\partial \dot{t}} - L=\operatorname{const}$.
$$\frac{\partial L}{\partial t}=2 c^{2}\left(1-\frac{2 H}{r}\right) \dot{t}$$
Then
$$\dot{t}\frac{\partial L}{\partial \dot{t}} - L = \dot{t} 2 c^{2}\left(1-\frac{2 H}{r}\right) \dot{t} - \left(c^{2}\left(1-\frac{2 \mu}{r}\right) \dot{t}^{2}-\left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2}-r^{2} \dot{\phi}^{2}\right)=\operatorname{const}$$
ie
$$c^{2}\left(1-\frac{2 H}{r}\right) \dot{t}^2 \bbox[5px,border:3px solid green]{+} \left(1-\frac{2 \mu}{r}\right)^{-1} \dot{r}^{2} \bbox[5px,border:3px solid green]{+} r^{2} \dot{\phi}^{2}=\operatorname{const}$$
Which is not $L$, but close. (Signs are wrong.)