It depends on how the different difficulty levels have been implemented in the game. If harder difficulty level just means that the enemies have more life or that you need to grind more to finish it, then I set it on easy because why the hell would I willingly put myself through that?
Now, if the harder difficulties change the game in any meaningful way, meaning that they make you rely on skill-based mechanics that you wouldn't even notice on easy, or if the difficulty level highlights some integral part of the game (like atmosphere or feeling of dread/danger), then I play them on the highest difficulty possible. Usually developers are lazy and go for option 1 though.