How do you choose difficulty?

When you select a campaign mission you will see 3 star colors at the top. Those are the difficulties.

Good question actually but is the reward the same on all 3 difficulty levels?

And is this for campaign mode and "legion" mode ?

In conquest mode, I guess there are still kind of difficulty settings. You can choose any country on the map. Just like Hoi, click on the country you want to play as, and it will give you some general stuff, such as how many medals you'll recieve for winning as that nation, how much technology, energy you'll recieve, etc. However, above the nations flag in the left of the box that shows up after you choose that nation, there will either be one, two, or three stars. A country having one star means that they are difficult to play as/a weak nation. Examples of these types of nations are Hungary, Denmark, Mongolia, Cuba, and surprisingly, Egypt. A country having two stars means that they are normal mode, and are all around average. Examples of these include Canada, Spain, Romania, Nationalist China (1939 and 1943), and India. Finally, a country with Three stars means that they are superpowers, and are relatively easy to play as. These include America, The Soviet Union, Great Britain, Communist China, and France. A country with three stars give you the least amount of medals, due to them being the easiest. Two stars will give you more than one star but not a huge amount. One star will give you huge amounts of medals, going up to 450.