Difficulty settings
Wayfarer is the story-first option. Pathbreaker is the middle name without a published modifier list. Hellwalker uses more advanced, adaptive enemy AI. Sixty-Six Days is Hellwalker plus a 66-death permadeath counter.
New Game Plus
Coverage of developer interviews says a New Game Plus mode unlocks after a playthrough. That is a post-credits structure, not a fifth difficulty row.
Recap: Gematsu State of Play recap .
FAQ
Will Phantom Blade Zero have difficulty settings? Yes. Four named modes.
Is Sixty-Six Days souls-like permadeath? It is a death counter on Hellwalker, not a published soul-runback. See souls-like.