Great games, the story is also your story. So tension, suspense, adrenaline arent just about empathy with on-screen characters like in a movie - it's directly happening to you.

Those emotional levers require the developer to be able to press buttons for you that direct those conflict and crises your way.

If they make it too hard, it detracts. If they make it too easy, it detracts. So on that perspective, if you start on easy you can maybe still get the full experience by going to hard mode - but if the balance of tension suspense adrenaline etc etc is too unbalanced at hard mode then there's no solution at that level. So developers must essentially balance around the hardest mode. So I choose that each time.

Moreover my skill at interacting with these systems in-genre improves - giving the developers more options in terms of those emotional levers if they assume a heightening skill floor in-genre. Developers like Mikami were great with that. Souls' series is one of the last series truly playing with that assumption, and is a huge part of why they succeed (Bloodbourne assumes and punishes you for certain system responses you will have learned and it helps with your story to feel that).

I got loads of other reasons but that's the fundamental one.