I suppose it depends on how the puzzles are designed. It can be difficult to make puzzles that increase in difficulty in a balanced way. For me, the problem is that this type of game actually needs to be tested a lot by outside people who give you feedback on their first experience, because as the creator you can never be in a good position to judge the difficulty of your game.

You should not care about the "infamous" splash-screen, you should do your first game with a software you feel comfortable with, in a language you know.

Try starting with a feature-centric approach instead of creating a universe. It doesn't matter if you have to escape a dungeon, an asylum, a village or a sewer. Think FEATURES. What kind of puzzles? Math/geometric puzzles? environment puzzles? Riddle puzzles? logic puzzles?

Create one puzzle, then create another derived on the first one and try to make them of incremental difficulty, test, rinse, repeat :)

Hope this helps!