We compare and contrast folding behavior in several coarse-grained protein models, both on- and off-lattice, in an attempt to uncover the effect of lattice constraints in these kinds of models. Using modern, extended ensemble Monte Carlo methods-Wang-Landau sampling, multicanonical sampling, replica-exchange Wang-Landau sampling, and replica-exchange multicanonical sampling, we investigate the thermodynamic and structural behavior of the protein Crambin within the context of the hydrophobic-polar, hydrophobic-"neutral"-polar (H0P), and semi-flexible H0P model frameworks. We uncover the folding process in all cases; all models undergo, at least, the two major structural transitions observed in nature-the coil-globule collapse and the folding transition. As the complexity of the model increases, these two major transitions begin to split into multi-step processes, wherein the lattice coarse-graining has a significant impact on the details of these processes. The results show that the level of structural coarse-graining is coupled to the level of interaction coarse-graining.