That is a weird bug. But can it be fixed?
I'm not sure if GOG can fix it, but there aren't workarounds we (the players) can use to fix it ourselves so far. I think I have a clue about why this happen but I'm not sure if it can be fixed by us and if it does it would involve hex editing the file, something players might find unacceptable. This bug is present in all the available versions of the game: Steam, GOG, Origin and even the PC DVD version.
There has been a "solution" available to fix this problem since it was originally released on PC DVD, but it actually fixes nothing.
The proposed "solution" requires you to hex edit the save file and change some stuff, then when loading the game will show your savegame with the right difficulty, but that's just a visual thing because as soon as you load the game you will be playing with medium difficult and you can notice it because of how easy the necromorphs die compared to when you were playing it in hard, also when you save the game (even if it is right after you load the "fixed" save) it will be saved as "medium" difficult, regardless that your fixed file said hard.
I wasn't even aware of this bug until a few days ago, because in hard I struggled to survive and usually not had ammo, but from some part of the game I realized I had a lot of ammo, health packs and couldn't fit anything more in my inventory and it was odd to have surplus of things when the enemies are tougher, then I noticed the "medium" thing in the savegame.
EDIT: One thing I forgot to say is that just like @gaspop said, using the "continue game" option might
reset the difficulty, so it is not that using "continue game" has a 100% success of triggering the bug. But usually when you notice you are affected it's too late.
Another thing I noticed just now I uploaded the screenshot is that the time of the 4th save is way off... it would appear it is a different playthrough but I'm not sure how that happened (because I have played from the beginning just once and in hard), perhaps when the difficult was reset the timer went to zero. Either that or I'm awesome and finished the whole chapter 1 in ten minutes, which I'm not sure is even possible because there are several dialogs/cutscenes with your crew and those cannot be skipped.