I start on normal, which I expect to 1shot now (UFO was a 2shot for me, would have been my first attempt if them damn UFOS weren't more dangerous than the final boss), was pretty challenging when I first started, but doable after several attempts.
Personally I think everyone should start on the easiest difficulty that isn't too easy for them, provided you like Touhou, if you don't like it wtf you playing at all. There's just some kind of cool-factor to seeing how each spellcard or whatever changes per difficulty. Sometimes it's pretty boring like faster or more dense bullets, sometimes you deal with "options" that didn't exist before (like SA first boss' final spellcard on hard is kinda cool compared to normal IMO), or sometimes the card changes completely (redmagic/scarlet gensokyo). Generally not trying normal is almost cheating yourself out of part of the game.
Because of that I try easy afterwards too, I know when I tried PCB on easy, I felt some of the cards were actually harder than they were on normal. (Phantom ensemble on easy has more bullets than on lunatic ffs!...Of course they are slow as a snail).