Is this a bug or it supposed to be so?
Difficulty does not change enemy loadouts. It
does raise enemy stats, but nor a whole lot. Something like +5% per difficulty level, and not all stats.
If cultists never miss, then you're hugging them.
They miss me plenty.
Grenades and weaponry better than what you start with or can acquire easily are intentional. As are crappy agents who need to go lift some iron first.
Red Dawn and CoA are the toughest cults to fight, though. Although I'm not sure why you've unlocked CoA while still sporting kevlar vests and Magnums. Seems like an own goal, these guys are quite heavily armed when compared to the four starter cults, and can swarm you like no tomorrow.
If you
really need to get your kid gloves difficulty back, go find vars_XCOMFILES.rul and change
aimAndArmorMultipliers: [1.0, 1.0, 1.0, 1.0, 1.0]
back to
aimAndArmorMultipliers: [0.5, 1.0, 1.0, 1.0, 1.0]
Or whatever other value you fancy.