While having a larger variety of options definitely has its pros, I personally have never missed such options. Though, I've never played a game that
did have them so...
I have a feeling I'd just leave everything (including the difficulty itself) at default and stick with that till the end of the game, because that's what I always do.
If "higher difficulties" are literally just "enemies do X times more damage, and you do X times less damage" (and vice versa with lower difficulties)
then options I think would definitely be a good thing.
(I'm a huge fan of custom difficulties created with self-imposed rules, but their purpose is practically always to make the game harder.)