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Hmm, sort of? I can't really generalize from my own (first year, before joining a lab full-time) PhD courses, but I found them challenging in a way that differed from undergrad: more expectation that you'd be able to figure out the solutions to the hard problems by learning entire new fields on the fly.

Completely depends on the program of study and school. In astronomy and physics programs, graduate courses are far more advanced, but grades are based almost entirely on homework sets. Undergraduate course are less comprehensive, but have a mix of homework and tests. Working on problem sets is chronically hard, while tests are acutely hard.

This is often (but not always) true. Not sure why you're getting downvoted so much.