Note that the original X-Com always played on Beginner difficulty. The developers never found out about this bug, and so may the sequel extremely more difficult, thus making it not at all fun for all but the most hardcore strategy gamers.
Wikipedia claims that the difficulty didn't reset until after the first Battlescape mission, which might explain things.
Aha! http://www.ufopaedia.org/index.php?title=Known_Bugs#Difficul...
It was only on the DOS version, the windows version did not have the bug; perhaps you played the windows version?