"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.