I think normal is the "fair" difficulty level, where neither you nor the computer get any bonuses in combat. I try to play at that level as then the unit match ups are intuitive and feel right. To be honest, with Shogun I don't think I played above normal - IIRC, the game is not easy. Last time I played it as Oda, the AI fought me to a standstill - Hojo horde ). Never did that in MTW or RTW.