For quest 2A, Assault on Helm's Deep, each player reveals a card. A player reveals the card Devilry of Saruman, which says "Until the end of the round, treat each character's text box as if it were blank (except for traits)." Has the round actually begun at this point, or is the game still in the set up phase, and outside the first round?

What effect does this treachery have if it is revealed during 2A, assuming that I've gone straight from 1A to 2A?

This one is in the FAQ 1.19. Regarding card effects during setup:

“When Revealed” effects are resolved if the cards are
revealed during setup. A player can trigger responses
during setup, following the normal game rules. Players
cannot take Actions during setup.

“When Revealed” effects that last “until the end of the
phase” will last until the end of the first resource phase.
Effects that last “until the end of the round”, will last
until the end of the first round.