The damage scales though. If you want to expand my point about DR, thats where it leads you. Not everyone has DR, true. But they have ways to deal with what villains throw at them, and when thats all scaled, on a per hero basis, those things each hero has to deal with are much easier. Whats bad is when you run into non-scaling effects like the hitmen damage for example.
Chairman isnt the only villain harder at H=3. He was just a perfect example. But ultimatley, the blanket statement that 3 is always harder than 5 is just not always correct.
Generally, what I've found is that having more people can make the game easier, but accelerates the pace signifigantly.
So, you'll have more heroes to deal damage, and spread around taking damage, but the amount of damage that will be incoming is increased. 1 point Damage reduction is still good, but you start seeing more use out of things like undaunted/shielding winds/Superhuman durability...or you just start seeing harder hits that nothing can really stop.
So you have to step up the pace. Each hero has to offer something right out of the gate, and even a turn or two devoted to setup or card drawing can lead to the team suffering, or it can lead to you (as a player) getting left behind as the rest of the team takes care of all the threats. Thats not to say that setup-intensive heroes can't be awesome- 5 player games are where synergies and out-of-turn actions can absolutely shine, and support heroes can really come to the forefront. In larger games, you are probably going to have more options and ways of manipulating the villain and environment, or clearing out threats, or ways to ignore those threats altogether.
In terms of Cosmitron, a 5 player game can be more difficult because it starts out with more stuff, and once it flips it deals more damage to more targets. Cosmitron, personally, becomes more of a threat than its drones (though they can still be nasty). It CAN be easier because you have more people to dish out of the hurt, and possibly more of a variety of hero types (so that sedative flechettes doesn't wipe out everything, just the portion of your group that relies on ongoings, and ditto for Tech sing), so you've got more possible recovery points if something goes wrong. Or you've got some way of predicting/nullifying Cosmitron to prepare and mitigate the damage on its turn.
So basically, 4/5 player games can be awesome, and lead to stomping villains. Or they can be brutal, where villains dish out massive hits and you have to somehow weather the storm. Or they can become these grand, swinging affairs, where the momentum shifts drastically because someone did something ridiculous, or managed to nulify the villain for a round. There aren't a lot of drawn-out grinds where one person tanks everything for turn after turn (unless you have Nightmist).