I put monarch because that is the highest level I can play on and expect to win, but I agree completely with the way the GOTM staff cycles through difficulty levels. They do a great job of going through them in a way that allows novice/rookie players to get involved, then learn and grow in their skills.
If not for the cycling through, I'd still be a mediocre noble player, one who won most of the time, but didn't expect to win at that difficulty level. Because of the cycling, I've improved my game vastly, and have won on considerably higher difficulties(netted a win on immortal long ago in the GOTM)...that said, I've still submitted more losses than wins to the XOTM, but thanks to my improvements in my play, I'm submitting more wins than losses lately.