I just started playing the Western Roman Empire campaign (only played a few turns). I am playing on medium/medium though. It doesn't seem too difficult. I've played the long RTW campaigns with the Scipio and the Selecuid Empire (which was a cakewalk. That faction is excellent).
In the early turns I took financial losses but stabilised the rioting settlements. Only one revolted because there was no governor there, but was swiftly won back in the next turn.
Of course, the state religion is paganism. Churches were demolished, priest units (good for nothings) disbanded, and proper pagan temples built in their place. The public were provided with games (probably in which Christians were being thrown to the lions, actually that should happen and games should influence conversion more than 5%, as they also encourage conversion to paganism as well as get rid of the Christian population!) to take their mind off the lack of churches and to turn them into proper Romans. In the same vein Christian faction members are not allowed faction leadership or governance in larger provinces.
Much of the kingdom has been reclaimed from Christianity. Carthage remains its last stronghold, only because of a nasty Christian governor with excellent management and influence traits. He will be replaced soon though, either assassinated (can you assassinate your own faction members? hmm, got to try that sometime) or sent to live in a fort in the middle of nowhere.
Also, my forces are gathering at the borders. The attacks will commence soon. :)