Actually, I just checked and noticed an interesting pattern: in the "The Restoration of Erathia" and "The Shadow of Death" Campaigns, I can choose the difficulty, but not in the "Armageddon's Blade" campaigns. Strange...

Apparently, this depends on the version of Heroes; I also downloaded them back in the day from the heroes 3 TV website, and there you can select the difficulty for all 3 campaigns. Although the reason might be something else—perhaps some mods installed on SoD could have affected this, but I think it's unlikely. Most likely, it's a matter of the maps of these campaigns themselves; a script enabling the ability to choose the difficulty for these campaigns is embedded there.