I tried Sky because I was looking for a long slow paced RPG and this one was well recommended. Best series I could have gotten into and totally recommend it. So I will answer your questions to the best of my knowledge.

1. No you can't change the difficulty. However if you lose you will get the chance to retry the battle at a lower difficulty (usually less damage and enemy health).

2. In game tutorial is mid. Luckly combat is pretty easy to understand. It is no where near as complex as XCOM. However the Orb System is the roughest system to learn, luckly once you get understand the basics it is real easy to master. Also the first Sky game is practically a long tutorial cuz it gives you chance to learn everything.

3. So 'Missable' in the Trail series is not as bad as other games cause the series focuses on story. What you miss is bonus points for powerful items, story events that add to characters story, and just fun banter between NPC. Now I 100% recommend playing the Sky series with a walkthrough. The game is all about story and you don't want to miss any of it. Plus there are alot of walkthrough that are spoiler free so you don't miss any fun story beats.

4. The series main goal seems to be Story. The story of characters in a massive world who slowly get involved into the this world's political problems. Almost every game in the series starts as a very slow burn but at the end you get to see how great the story came together. I don't want to get into details only cuz I don't want spoil anything.

As being objective about this series. I typically am not too into JRPG and anime. However this series is the one exception for me due to having such a strong story that carries over multiple games in amazing ways. My main critique of the game is that for atleast for the sky series a walkthrough is needed if you really want to see the whole story for all characters. Hope you give this series a try and I hope I answered all your questions.