Being serious though, I've typed a bit about risk and return (a concept I idolize) and how it relates to difficulty modes in games, if anything is written poorly do tell me so I can amend it:
Basically, for each risk you take you should get a return on it, the bigger the risk, the bigger the return. In Skullgirls it's like the difference between using a heavy starter and a light starter: a heavy chain starter leaves more room for different links (the majority of which are not heavy attacks) and deals more damage, but at the same time increase Undizzy faster and, if it misses, there are usually more end frames that'll leave you vulnerable. If, say, heavy attacks had as little risks and consequences as light attacks then no one would have any reason to use LP or LK until they've used up every other possible chain starter.
In regards to other games, Bayonetta for example, the risks you take and the return you get change depending on how good you are. The risk and return in the game mostly comes from the dodge system, where the world around you is slowed down on a successful dodge, but this requires proper reflexes and timing, if you're too late you'll get hit. For someone new to the game who doesn't know the enemy patterns there's more risk of failure than someone who's completed the game twice already, but the same return exists for both. If a game just rewarded you for doing easy tasks it would get boring fast, so for the expert players there exists are harder difficulty which decreases the return they get (enemies have more health so the percentage of health taken away decreases in harder difficulties) and increases the consequences of failure (more damage on hit).
Simply put, risks are less risky the better you are at a game, so harder difficulties are there to help rebalance the risks to your skill.
Some games have ridiculously easy normal modes and so the harder modes are considered to be what the average gamer would be playing (most of the popular FPS titles come to mind), especially these days, heck, I can't even remember the last time I saw a game over screen outside of the older JRPGs I've played recently.