Because supplements such as fish oil are not regulated by the Food and Drug Administration, the manufacture and distribution of these products can vary widely between different supplement companies. In order to review these different practices, I would recommend speaking with your doctor
about any particular concerns you might have.
Having said that, pharmacy grade means that the production of the supplement is performed according to the Good Manufacturing Practices protocol, and that each step of the process of production is documented and checked against standard operating procedure. The training, equipment, raw materials, facilities, and final release information is all documented and reviewed against a standard of safety and efficacy. In simpler terms, this means that the production of the supplement is performed using a standard protocol to ensure that the product is free of any contaminants, including mercury. On the other hand, the product you purchased from Vitamin World has also been treated to remove the mercury. Unfortunately, there are other contaminants in supplements besides mercury, including other metals such as cadmium. Again, because supplements are not regulated by the FDA, there is always a risk that there are ingredients in them that are extraneous and even sometimes harmful. To be safe, pharmacy grade would be a legitimate option. However, the expense may make this not feasible.
For more advice on the risks and benefits of using your particular product, I would recommend making an appointment to speak with another doctor to get his or her opinion, as he or she can review the product more thoroughly.