I've played a LOT more games since I first asked here, and I still don't really see it. Some people have stated or implied that the first player has an advantage, but nobody has really explained why or given examples. The closest was the assertion that the first player may get an ideal position to drop in, but as far as I can tell that's just as likely to happen for the second and third players, and depends a lot on what color they draw first. And as for lords, I'm convinced the last player has the advantage there, not the first.
If there is actual data demonstrating the first player has a strong advantage, that would be interesting to know. But for now, it seems to me that there isn't much of an advantage to going first.
BTW, I play games with 2, 3, 4, and 5 players, though I don't do 5 player very often, so I'm less familiar with that. For games with 2, 3, or 4 players, though, I don't think I've seen much advantage in going first - the colors you draw your first two turns make a much much bigger difference in your luck than the turn order.