All difficulty settings are unlocked from the beginning. Also, I was just letting you know that in case you were one of those completionfags like I am. The problem with me is that I'm a half-assed completionfag, and rarely actually go back and get/do EVERYTHING, because I lose interest long before that typically.
This always eats away at me in the Zero games, because the Hard mode is always just...so...damn...hard...and yet I was born, bred, and raised to be a hardcore MegaMan fan. I have to settle for A ranks on some bosses on Normal mode because I don't want to get arthritis trying to get that S, and each time I settle for it, a small part of me dies inside. ;_;