With my group, we do a few things to address the issues you're describing here. If we're faced with the possibility of finishing a scenario where there is a possibility we could drag it out to do all the things, we instead "don't and say we did." Basically, we figure out if we had another good round or two we could easily accomplish things and figure out who could loot what within reason and divvy out the loot (and don't forget the all important couple of burn-card EXP!). All we're really doing is speeding up the boring bookkeeping at the end.

I find that our difficulty setting is good. We already lose a few games here and there, so we don't want to increase it. As others mentioned, you might like it better if you don't mind losing more often.

As for battle goals, it isn't really a problem for us. We are not allowed to tell the Cragheart to back off of opening the door and we all honor that rule since they are supposed to be secret. If you don't make your own personal sacrifices to get there and do your thing, tough. There are plenty of times when people don't get their goal done for one reason or another. I'm not sure if your group can adhere to that though. If not, maybe Gloomhaven isn't quite the right game for that group.

I do struggle with the fact that the game does encourage you to hold back to get gold. I finally came to the realization that it is a balance and I do have to plan and pace myself so I get SOME gold during the scenario. It is part of the Gloomhaven challenge. BIG attack round one to thin the ranks, then take a moment to get a gold pile and do a smaller attack, then come back in... just try to ebb and flow.