For several villians there are mechanics that make the first turn confusing.
1) Omnitron: He is setup factory side up. Does he flip to rampaging robot on his first turn immediately or would that happen on subsequent turns? My inclination would be to do exactly what it says and flip immediately. This also makes thematic sense since he has just become self aware and goes berserk.
2) Citizen Dawn: She has several citizens in play as part of her setup based on the number of heroes. Does she still play another card on her first turn or is the the setup her first card play phase? Again, my inclination is to simply have the standard villian play phase meaning she would in fact on round 1 also play another card beside what was setup.
3) Grand Warlord Voss: The same as above for Citizen Dawn.
I guess the ultimate question is, do villians still take there standard turn even after setup on the initial round?
Set-Up is something that happens pre-game, so it doesn't have an impact on the actual turns, so each will play as normal. So Set-Up would occur, then villians would do their regular stuff they would do on any other turn.
It can be harsh, but IMO it's fun when the villain hits really hard at the beginning of the game. It means you have some catching up to do and it's tense from turn 1.
Yeah, Voss is normally like that - you can get pounded by Minions in the first turn, and then have to quickly obliterate them before they get to do it again next round :D. Dawn is much the same (but more annoying, especially if she starts with, say, Tears, who forces discards).