Have never used fast travel simply because the game gets boring if I just jump around. My character accidently made the Pilgrimage as he was roaming around Cyrodiil. Whenever he encountered a shrine, he used it. When he got to the one outside Faregyl Inn he recieved a message saying he had completed it, and he did it unknowingly!
This just happened to me as well. Both of my mages pay homage to all shrines for blessings as they encounter them. My Breton atronach also replenishes her magicka in the process. She wasnt really doing the Pilgramige and was working on the DB quest. She started the quest with fame of 60, and had accrued an infamy of 8 while playing it. All of a sudden, I noted her infamy had re-set to 0, and subsequent visits to the chapels indicated she needed to make a new Pilgramage. I never recall receiving the message.
But, my question is what exactly qualifies as "hard?" Are you playing with the slider flush to the right, or do any of the settings between the mid-range and extreme right count? I play approximately six notches to the right (or midway) between normal and hard. However, I only adjusted the settings after both of my mages became Godesses... around level 20 or so to keep things interesting. Never attempted to play all the way to the right, or start the game in that manner. Would be interesting to try, but doubt I would get to it before 11/11. I wouldnt want to try that with an atronach on my first attempt.