No. I plan to start with the second most difficult level first. To get familiar with the game get an idea how things play then after I have farted about for a day or two I will start again and that will be my first play through which is planned to be Death march but I might suck at the new combat.
I usually train on 2nd hardest, do my first full game on the hardest level, then other play throughs i play on the 2nd hardest with RPGs. I want to be able to relax for the RPG elements on my secondary runs.