Not a matter of "dignity", but for me it depends:

• If I'm really interested in a game, and the difficulty proves to be too high from the beginning, or can be changed at any time... then I would try a lower setting.
• If I had already invested some time into playing it, and the difficulty proved to be too high... then I would rather abandon the game rather than start from scratch with a lower setting.

Chances are though, that changing the difficulty after some time playing, would feel like a total nerf, and I would abandon it anyways.

Same way I feel about non-cosmetic purchases. I made the mistake of falling for some back in the day, and shortly after abandoned the games... because they felt much less like a challenge, and too much like a pointless money grab. My current limit on micro-transactions is either fewer than 3, or $1.