I like to play my own challenges now for minimal leveling; not formal ones for speedrunning purposes, just running more often and not grabbing all the resources. Due to the exponential nature of the game, generally if I do throw in the towel and level, by definition, the best place to grind is the latest possible place. Numerically you actually aren't missing out on much by trying to speed through the game and stopping only when necessary in most games.
The difference between single player and modern HoMM (it’s a thing!) multiplayer is absolutely stark. Entirely different games, basically.