Interesting debate.
I'm not sure I can agree with Bohemond's interpretation of the rules regarding the 'your deck doesn't reset' part of the rules.
You could argue that one interpretation of this is that you carry over the mentioned variables (Threat and Damage Tokens) and that you initiaite the Setup steps detailed on page 10 of the rule book omitting the things detailed on page 27. So the decks get shuffled, you get 6 cards etc.. meaning you start with no allies/attachments, but you do start with a shuffled deck and 6 cards, carry over threat from the previous scenario and Damage Tokens.
My rationale here is that the 'Expert' game refers to you keeping the same 'players, decks and heroes' as the only real variable to playing the game from any other way. In the Expert game, my interpretation is that you don't modify your decks, players or heroes for all 3 scenarios so you can't gear-up your decks to better manage specific aspects of each scenario (no changing cards around), they have to built in a fashion that makes them a jack of all trades for each scenario and therein lies the deck building challenge.
In 'Nightmare' the above interpretation of the Expert challenge would remain the same (you would set-up as per the rule book page 7 for each scenario you play) thus meaning the ONLY difference from playing Expert would be a carry over of Damage Tokens and Threat, you still shuffle (the WHOLE deck), and grab six new cards, the only cards on the table would be the Heroes your deck starts with.
So you can see that the interpretation of the statement 'do not reset threat, hit points, or player decks' is incredibly ambiguous and open to WIDE interpretation. The rules for Nightmare don't cover what happens in the event of a hero dying in a previous scenario (arguably they remain dead as hit poits aren't reset...but again this is MY interpretation and nothing official), and they don't SPELL OUT what it means to not reset your deck.
A purist approach would say this simply means you can't re-configure your deck with any other cards than those used to defeat the previous scenario, but you still shuffle the whole deck and draw 6 cards as at the beginning of playing any scenario.
Having said all that, I do really like the idea of runinng all quests back to back, resetting nothing but the encounter decks each time, as stated perviously this would certainly give you a greater feel for a ongoing campaign between all 3 scenario's, however the counter argument that the right decks can make this a potential walk in the park and actually easier than the above rules interpretation in difficulty.
An official ruling on this, or at least some greater clarification with some 'between scenario' setup examples from Dr Nate wold be most helpful.
Thanks for reading this rather long winded post.