Oh, and one other thing about dynamic - the whole RTTS internal difficulty change thing doesn't apply there. Your stated Dynamic difficulty level is always the true one no matter what level of the minors or MLB you're playing in. If it says you're on Veteran you're on Veteran, no matter if it's AA or MLB.

Do you get more XP in Road to show on higher difficulty?

Difficulty does not affect XP earned in any way.

Does difficulty matter in Road to the Show 21?

If you're racking up double-digit strikeouts or no-hitters with the Baltimore Orioles for example, then the game might be a bit too easy. However, Dynamic difficulty can backfire by jacking up the difficulty in crucial situations, so tread carefully.