Galadriel's ability states that allies you control do not exhaust the round they enter play. What about objective-allies that enter play during set up? Does set up count as part of the first round?

From the FAQ, section 1.19:

“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.

I assume this also includes abilities like Galadriel's. Fortunately, the answer seems to be yes.

Yes, unless the objective allies in question are immune to player card effects.

Poor poor ships.