Are there any fan-created campaigns for Shadows of Brimstone?
Both City of the Ancients and Swamps of Death (the two base game sets available) include an adventure book.

Each adventure book features 12 missions, the first six of which are the same in both books, and then the last six are specific to the setting. They can be played through as a campaign or as individual missions, supposedly getting harder as they progress (I have only played the first three so far so can't really comment on the difficulty of later missions).

Regarding the setup phase where you determine the "difficulty" of the game, it is not a choice of easy/medium/hard etc. It is a scale based on the number of heroes, which defines the general number/difficulty of monsters and the number of revives you can use when heroes are knocked out. This scale is more about balance for the number of players than a way to actually increase/decrease the difficulty.

You can of course choose to make things harder or easier by changing the number of revive tokens or the Threat deck you draw from, but so far I have found the suggested difficulty to be reasonably well balanced and have lost just as often as I have won, although I have so far only played with 1, 4 or 5 players so can't really speak about the balance of 2, 3 or 6 player games, but the progression seems reasonable.