What is that bar that ends up saying max in the bottom left corner and how do I use it? Also are there different difficulty modes? Right before starting a game and it says COM with some Japanese what is the difference between the white, blue, and red?

Sorry for the late reply, but it is a power up. Makes you invincible to projectiles for sometime and generally makes you stronger. You activate it with Q if you are playing on an emulator with keyboard. AFAIK there are no difficulties. As for the colors, I don't think they matter.