Lower difficulty makes monsters attacking your cities less likely.

Also, most monsters need to be disturbed before they come after you.  This is not a hard rule: wildland monsters roam without being awoken, some lairs generate patrols, humanoids set out to raid early.

By the time you start playing near and above expert, you will need to have strategies to kill with monsters that come after your city.

You can change the monster lair density in the game world on the game creation screen. Setting it to low would make the start easier, i guess(i never did - i always set it to the max instead )

Fell dragon should not be roaming unless it has been disturbed. Disturbed means that your zone of control has spread over it's lair(his lair is now on your territory). All the 'normal' monsters(those belonging to the 'monsters and ruffians' group) behave this way. They sit in their lairs and don't move, however the lair when left undisturbed eventually creates a roaming monster of that type, however that one is usually weaker than the original monster sitting in the lair - this is a good way to train troops by the way, leave a lair undisturbed and fight the (weaker) spawning monsters it generates.

That being said, sometimes monsters leave their lairs even without being disturbed. Mostly just to attack your unit if it is right next to the lair, but sometimes they leave their lair and start roaming as if the lair was disturbed - this only happens rarely tho.

Also, there's the matter of wildland monsters. These belong not to 'monsters and ruffians' but to 'denizens of wildlands' group. They are more agressive, pursuing your units beyond the borders of the wildlands(a dark green bordered area of special importance - frozen wasteland, a swamp, volcanic area etc.)