"Is it really that hard of a concept to grasp?" is not standard English. Possible alternatives include
Is it really such a hard concept to grasp?
Is it really that hard a concept to grasp?
Is it really a hard concept to grasp?
These have approximately the same meaning, with decreasing emphasis on the level of disbelief.
With reference to StoneyB's suggestion about the non-standard use of "of", see the GrammarPhobia Blog for "It's not that big of a deal".
The author of this article says that use of "of" in "It's not that big of a deal" is unnecessary and non-standard. The form "noun of a noun" is standard - eg "devil of a time". In the present case we have "adjective of a noun", which is standard when the adjective is one of quantity - eg "enough of a problem," "much of a muchness" - but not when it is one of degree (big/small, long/short, good/bad).
The usage is probably of American origin, arising from a perceived need for a clearer boundary between the adjective ("big") and the indefinite article ("a").
With the increasing Americanization of English, this usage is becoming more common.
Hard/easy are adjectives of degree, so "that hard of a concept" is not standard English, but as an Americanism it might be acceptable.
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Related: “that crazy of an idea” vs “that crazy idea”
– sumelic – 2017-09-11T20:34:52.380I notice someone edited this question to add the word "that" to the example sentance.. Sammy seems to have asnwered the original question while Andrew seems to have answered the edited one. – Peter Green – 2017-09-11T21:01:51.390
I'm not sure if it's the "of a" that you are struggling with or the larger contruction. "of a" comes up often is speech. "an example of a failing", "he's a hell of a guy (helluva guy)", "birds of a feather", "small piece of a larger puzzle" – JimmyJames – 2017-09-11T21:37:58.373
Related questions from the English Language & Usage community: “How big of a problem” vs. “how big a problem”; Is the saying “It's not that big of a deal” incorrect?
– Miles – 2017-09-12T03:35:55.690Possible duplicate of Too big of a sofa or adjective of a noun constuction
– sammy gerbil – 2017-09-12T11:57:15.583