I'll overall say 'yes', but it does depend on the game you're playing and the type of experience you're going for.
- Something like Monster Hunter (honourable mention to the Souls/Borne games here as it's a similar argument) the difficulty is absolutely important. If I wanted to just see all the monsters, I could go on google image search. The experience of Monster Hunter though is learning how to hunt all these various creatures and by doing so they become easier, either through 'knowing' that monster like a true ecological expert or through upgrading your gear bit by bit to overcome it.
It's also just the rush of fighting these vicious creatures that if the game had an easy mode, that feeling wouldn't exist. The Zinogre isn't hard "but only on hard mode", no, the Zinogre is just a beast in general. You fight that Zinogre for the first time and you'll crap yourself as it starts slamming around and thundering up because the only way to progress is by going through that monster which has just ripped you in half. If there were an easy mode, it's just a cool looking gate temporarily blocking the progress you're guaranteed to make. The set level of difficulty helps to make these creatures seem as dangerous as they're supposed to be.
- Then there's something like Animal Crossing. Of course challenge isn't expected in a game like this as it's supposed to be a laid back, relaxing and accessible game. Adding genuine challenge would remove the relaxed nature and cause frustration for players.
Or Mario. Mario games just aren't particularly difficult at an entry level. Sure, there are some difficult stars/shines/moons/whatever the specific game has that are more challenging to acquire but Mario is the most entry level and commercially popular platforming series and thus, the games aren't difficult to just get to the end of, and that's absolutely fine. Most players that don't want difficulty only want to get to the end anyway.
Or Pokemon. It's never been a particularly difficult series of games and like Mario, it shouldn't be as it's such a commercially popular series and an entry title for RPG's. Whilst I would like something a bit more challenging somewhere in the game for older or experienced players (like Mario having more difficult optional challenges), I do think that the difficulty of the game is absolutely perfect for the intended audience of children and gaming newbies. I'll still be returning with each release because whilst the challenge isn't there, it's fun just catching and evolving new Pokemon.
- Then there's the 'middle ground games'. Fire Emblem I would say is one of these and I think it is one due to the nature of appealing to two very different demographics. It has people that want a good challenging strategy RPG as well as people who are there solely for the story and relationships (and a group in the middle). Personally, I couldn't imagine not playing Fire Emblem on anything lower than classic difficulty where perma death is active because I'm there for the gameplay, not the story. I could easily get from the beginning to the end of the game if my defeated troops came back after every level, the games just aren't hard without perma death. Likewise, there are people who can't do perma death runs and don't really want to, they just want to know what happens next. I think with the game moving more and more towards developing the way relationships work, difficulty options were a good choice.
- That all said: I don't see the point in playing a game on a difficulty that's too easy for you either, the possibility of failure being almost gone entirely makes the completion of the game a guarantee rather than an achievement and at that point, there's Youtube. If I played DOOM on easy mode I may as well not play because I'm getting neither the challenge nor the experience DOOM is supposed to give you.
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As I said first though, it depends on the game. You'll have people complaining that games such as Monster Hunter and Dark Souls are too difficult and need lower difficulty selections, likewise you'll get people saying Pokemon and Animal Crossing don't need more challenge. Ultimately I think we all just need to accept that we all have different tastes, none of them are right or wrong and that if a game doesn't bring the amount of challenge you want then, well, not every game needs to cater to everybody. Move on and find an Animal Crossing type game with a PRO MLG playstyle elsewhere.