No, you're right. There should be such option. My kids would be happy. I just still can see (what wasn't obvious for me before) that lack of difficulty levels may be also a part of a game's idea/design. And I'm grateful I was forced to beat it like that. Today I'd probably play Normal and keep fighting to the end - but today I'm different person thanks to that experience :D
Regarding uninstalling and final boss - that's exactly what I love in HK. They've forced me to change my mindset. When reached White Palace I promised myself to just reduce my effort to a few minutes a day. Just try, fail and come back tomorrow. Go forward, play other games, but come back from time to time to try - and to let "git gut" process run in the background.
I was sure I'm simply not able to complete it. But with patience built during all the boss fights (it's amazing, how this games rewards "keep calm" strategy in the center of chaos) and with my new attitude ("no plan to ever win, just fight, lose, get up, fight again") one day I won. Call it exaggeration, but that experience was something more than gaming, it affected my real life :D