wad1m: Well, I have multiplayer save multi_0.sv with a character on nightmare difficulty - and everytime I load the game I have this on nightmare. If that's working, why not the same save with another difficulty? If the save file has the same name I don't see a problem. But if you really tested that's ok, you may be right...
multi_0.sv is a multiplayer hero save file. It contains your character, spells, items, etc. It does not contain a dungeon, the NPCs, or a difficulty level. Each time you load the program Diablo.exe, and create a game with that hero, you can choose on what difficulty you want to play in that game, subject to the character level requirements for difficulty.