Watashi no Doku wrote...
Monster Hunter benefits from not really putting much effort into the plot. The games were never about a story and the plot is usually a second thought.
I would argue against that considering the world is actually rich with lore and story potential, especially regarding how monster hunting in general began, but that's a topic for another thread, plus Capcom seems to think it doesn't need much focus anyway.
As for this discussion, yes I do believe difficulty adds to immersion, or even subtracts from it. Challenging games like Dark Souls, Monster Hunter, harder levels of Risk of Rain and Invisible Inc. all have just the right level of difficulty to actually put you on edge and make you feel the urgency of the situation at hand. It's also just enough to make completing the challenge at hand actually rewarding. Similarly, if you're playing a game like To The Moon or some other narrative adventures, it's just easy enough to make sure you're still playing the game but also to not lose focus of the real features of the game.
Of course... then you have games like Akiba's Trip. Granted, a lot of its issues arise from it being a rather mechanical mess, but even on normal difficulty, shit can get so convoluted and crowded, it just makes the game feel harder than it should be, and that nagging thought on your mind will definitely affect your immersion in the experience. Likewise, making the game too easy with all powers unlocked will make you feel less like a god and more like someone who could be doing better things with their time.