In terms of difficulty, from looking at past papers from both qualification systems I'd have to say that AS is a bit harder than Higher, but Advanced Higher is a bit harder than A2.
Scottish universities accept Highers as the standard leaving qualification and will advertise requirements in terms of Highers, although you can shave the first year off your degree by studying the appropriate Advanced Highers and it's possible to gain entry to the 2nd year if you meet the requirements with them.
Highers and Advanced Highers can only be awarded by the SQA, but that doesn't necessarily mean they can only be sat inside Scotland. There may be centres in other countries which offer SQA qualifications, but I've never heard of them.
So, in short, what I mean is: Scottish universities accept Highers as the standard entry qualification to their university, whereas English universities accept A-Levels as the standard entry qualification, so some English universities won't accept Highers if you decide you wish to study there and will request Advanced Highers.
Funding for Highers and Advanced Highers is variable with the college, I believe, and the best way to find out would be to get in contact with the colleges you're interested in yourself; I don't know enough about this to give you any advice, sorry.
The same does not apply for the Scottish system, you can enter for the Advanced Higher without studying the Higher (keep in mind Advanced Higher isn't a necessary qualification for access to further education in Scotland), but you will still rely on knowledge taught at Higher to make your way through the Advanced Higher. So you can get the AH qualification without ever doing a Higher in it, but it just means you'd need to teach yourself twice as much stuff in the same time period as your cohorts who have already studied Higher.