Perhaps I'm wrong, but from their response and seeing this situation happen so often it sure doesn't seem like the players are aware that all skill checks have inherently circumstantial difficulties.
Simple roll vs roll contests just tend to be the default of players that haven't read the rules for these circumstances, something about the way the game is set up just doesn't clue players into that fact.
Maybe it's just that players simply aren't primed to accept that they can set their own DC bonus and it's not even metagaming? It's basically the only circumstance that they can. It's probably a good DM habit to get into, come to think. "What's your character's willingness to believe this" type prompting.