Odds are you're loading a different profile (one with Rookie/Beginner/Dynamic set) than you think you are. RTTS uses the profile set as your default unless you change it. Check what difficulty you're on once you're in-game (as in, actually at the plate hitting or pitching) instead of checking at the main RTTS menu. It should say veteran obviously, but if it doesn't then go back to the main RTTS menu and change the settings file association to the correct profile.
If it does actually say Veteran in game...there are a couple possibilities that could explain, but let's get the stuff I mentioned above out of the way first.