Difficulty levels that affect multiple aspects of the game, but can't be customized
For example, if I'm playing NewCOM, I'm torn between playing classic and impossible because I might want the classic health for my soldiers alongside the classic health for the aliens if I want to make everyone a bit more bullet-spongy. Similarly, I might want to play classic but want the unrestrained Sectopod numbers (each still with classic stats) offered only by impossible.
I also had this problem with Silent Storm. Under normal mode, it wasn't challenging enough. Under hard mode, you can't save during combat which can be annoying. In impossible mode, you can only save between missions, if I remember correctly. Silent Storm Sentinels, however, provided a wide range of options to customize whilst creating your own custom difficulty (saving rules, your health and AP, the enemies' health and AP, durability effects on weapons, etc.)
That way, If I wanted, everyone could be a super-slow walking tank and guns would jam all the time, or everyone could be a quick glass cannon with guns that never malfunction. If I wanted to, I could set up asymmetric gameplay in which my units are much faster but have extremely little health relative to the enemy forces, which are slow juggernauts.