Well, indirectly and partially. The higher the difficulty setting, the more damage you take from his attacks, while the less you deal. That's it.
But if I'm right, this could be a help developing certain skills, based on the more amount of damage you suffer / deal compared to lower settings.
Just by pure logic, probably Heavy / Light Armor and One / Two-Handed will increase faster in Expert on Master, just because the enemy hits you often and you have to perform way more successful attack time to get rid of him. But you can level up Restoration faster too, just because you have to restore health more.
My point is, if you need X point damage taken / damage dealt to reach next level in that skill, you'd get that more in that circumstances. This affects mostly combat skills like I mentioned, but as far as crafting skills, not likely. In those cases, you need Y piece of to proceed further, and price matters. So if you enchant something with a more valuable enchantment (thus, making it more expensive) brings more XP. From the logic of difficulty settings (just the damage multipliers change, nothing else) switching to a Expert or Master doesn't change a single thing.
If my logic wrong somewhere, just let me correct.