There are inherent problems with the difficulty systems. Let's say I start a new game with no prior knowledge. How do I know which difficulty setting is right for me? If it's too hard it will be frustrating. If it's too easy it will be boring.
If I'm allowed to change the difficulty in game then at least I can adjust a bit without having to restart, or I can make a difficulty spike smoother. It does damage my sense of accomplishment. I feel like a wimp if I have to lower difficulty and even if I have to increase, that means hours spent on lower difficulty that could have been more enjoyable at a harder setting. So, it's not ideal but I think it's better if there is an option.
What I think is the best option is dynamic difficulty adjusted in game naturally, not from a menu. A few good examples:
Super Giant Games did this with Bastion and then improved a lot with Transistor. You can use switches that make the enemies harder but give better rewards. Especially with transistor it doesn't just increase hp and damage but also introduces new fun mechanics.
The Souls series of games let you call other players to help with difficult stages and bosses and on the flip side, Dark Souls 2 had a mechanism (a covenant) that had you play the game solo and make all the bosses more difficult.
The underrated gem God Hand made the game harder the longer you spent without getting hit and gave you better rewards for killing stronger enemies. When you took damage the difficulty would lower and you had to build it up again.
To answer your question, most games nowadays do have trophies for various difficulties. If you lower it at any point mid game, you can't get the higher difficulty trophy. I'm playing Uncharted 4 right now and it has those kind of achievements.
Other games let you lower difficulty in game but not raise it again.
Path of Exile has an interesting way to deal with ironman runs. Ironman mode in most games means that if your character dies you have to start over. That's how most diablo clones handle it too. However in PoE if your hardcore character dies it just gets delegated to the non-hardcore league. I think it's a nice way to tackle it because there is of course a sense of loss but on the other hand all your progress isn't wasted, you can continue on the normal league if you want.
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