The rules state "If at the end of the first round all evil-side players are eliminated and the
good-side players fulfill their victory condition (see “Winning the Game”), the good side wins." So the good guys can not win on turn one unless all the villians are defeated? That is what i am taking from it. If so, this game is very weighted towards evil but we still had fun.

This is correct. In order for the good side to win, they must eliminate all evil player AND have enough good players remaining to match the victory conditions based on the number of player. For example, if, at the end of round one of a four player game, only Gandalf remains, all evil players have been eliminated, but because the good side needs two surviving players, the evil side wins. If, at the end of round one of a four player game, both Gandalf and Smaug remain, the evil side automatically wins because the victory conditions of the good side require two heroes to be alive at the end of the second round. The victory conditions and character powers generally favor the evil side, but the good side has the advantage of numbers. If you feel cheated by one side, swap affiliations ; D

Bought the game a few days ago. Although the situation never have appeared yet (maybe it's not possible?), what about the second turn:

How the evil side wins is obvious! But does the good guys always win this round if the Victory Conditions are fulfilled – even if any of Morgoths creatures (i.e. Bolg and/or Smaug) are still alive after the second round?

We decided that if this situation ever happens, we go for a third round!