Is there any penalty to reducing the difficulty level in Heavy Rain?

I am on my first playthrough of Heavy Rain, and while I'm enjoying the game I find the quicktime events (especially combat) extremely annoying.

I don't know if it's the fact that I'm more used to a 360 controller or just that I always hated quicktime in games that are more about plot, but I am ready to take the shame and reduce the difficulty to the video game noob level.

If I do so, is there any penalty? (besides achievements, which I don't care about)

As you mentioned, Heavy Rain is heavily plot-focused: the mechanics of the controls aren't meant to add artificial difficulty to the game itself. Any difficulty is intended to come from the puzzles and solving the mystery.

So there is no penalty for any difficulty setting: you'll even earn trophies at the lower difficulty settings. Feel free to use whatever setting you feel most comfortable with.