On a scale of one to the first Afterlife, how insanely hard is this game?
I think you might be drastically overrating the difficulty of the first game!

Actually, if you're familiar with the mechanics of the classic
Sonic The Hedgehog and
Super Mario Bros. games, or other platformers from that era, I think the first
Afterlife game is pretty tame overall... Especially given the ability to save your progress.

I suspect that the reason
Afterlife has developed somewhat of a reputation for difficulty is not so much that it's a hard game overall, but that it's a game in which every level is designed to provide some level of challenge, with the intention that the player tries and retries a level until they've worked out a good strategy to complete it, being killed many times along the way, but ultimately gaining ground on completing the game with each play.
I didn't want to throw in a whole set of cakewalk-easy levels to break the player in gently (that's what the training stages are for, after all!

), so the idea is that the difficulty follows a fairly consistent average throughout the game, rather than an increasing gradient.
And of course, the Acts in the first game don't have to be played in any particular order, so there's rarely a reason to feel "stuck", even if a particular level is causing problems for you.
The approach in
Afterlife 2 is a little different, of course - but in essence, the principle is the same: no challenge is designed to be easily surmountable the first time around, the idea being that most Acts should take at least a few retries to complete, and then perhaps a few more to discover any helpful secrets that might be lurking around...

Its way too easy to accidentally throw your umbrella and get it stuck somewhere [...]
Throwing your umbrella is rarely a good idea, for that reason!

Instead, try riding the umbrella when attacking (press Jump while holding the Umbrella key, then hold the Umbrella key until you want to let go). This avoids losing the umbrella, and also allows you to score combo-attacks!
Anyway, really great to hear you're enjoying the game - good luck!
Ryan