I managed to fix the problem somewhat and posted it to Steam already, here:
Guys, I came up with a solution, it will even work with your "mode-switched" saved games.
Since the mode type didn't appear to be saved with the files, cause it always sent me back to expert, even after directly shutting down the process, I guessed it had to do with the running game.
So what I did was, start a new game, choose easy, and that apparently turns the whole game into easy mode, then, you go and die with a monster so you get taken back to the main menu without quitting the whole program.
Now ALT-TAB out of it, open explorer, and replace the current saved game that you just started and used to put easy mode, with the save game file of your choice, go back to the game now, choose continue, and it will load whatever saved file you pasted in the saved games folder back in easy mode :)
The saved game is in User/Appdata/Roaming/LoneSurvivor/Lone Survivor Saved Game.