I had locked my World Difficulty at Normal when I first started. I decided to mess around with the Languages, and I selected LOLCAT (Kingdom of Cats). As soon as I did this, I noticed that I was free to change the difficulty once again.
I decided to try to switch the difficulty to Hard, and it seemed to work visually. However, I left the World and returned, and I saw that the difficulty was once again locked at Normal like it had been before. I assume it is just a visual bug, but I don't know.