These people only fool themselves. And I think you mean the players who play the game in a more gamey instead of a historical way. I belong to the last group and I like to play 'what if' scenarios.
Then you're in a minority, but that's beside the point.
People commonly complain that some games are too easy, usually because they are poorly balanced (player is too strong relative to his enemies) or poor design. Players could make it harder for themselves by using self-imposed restrictions like playing with one hand. But that wouldn't make the game more fun.
Take all of the FPSes that have basically god mode enabled by default (or what they call auto regen). You could make them harder by shutting down your PC/console every time you take a hit. Would that make theses games better ? not really.
A game must be fun, balanced and well designed from the beginning, even at the expense of player freedom. Player freedom can be enhanced by mods. Especially in EU4 making a mod such as a new country is dreadfully easy (although it can be quite menial to get all the province IDs)