[David, take the following with more than a grain of salt. You are well within your rights not to enjoy Penguin Soccer! *grin*]
FWIW, Penguin Soccer Stats at SDG:
Definitely never seen a first turn advantage. Stats suggest the opposite (though I've not seen that either).
What is the optimal strategy you use? I've been playing constantly for a couple of years now, and my play has evolved through a number of styles in that time.
I'm the first to acknowledge that the game is not the quick filler it appears (and perhaps should be), but I've yet to play a game where the back and forth loops didn't resolve into a goal before seeing a repeated board position.
The game may well be solvable, but I'd be surprised if the solution is trivial.