There's actually quite a strong anti-war message, or at least there was before the writers butchered the White Walker storyline.
From what I know, George RR Martin is your usual mid-20th Century liberal, but I actually think the series has a rather reactionary undercurrent; and I'm using that term affectionately, not the way leftists use it.
Institutions experience entropy and degrade over time, and that's illustrated throughout the world:
The Seven Kingdoms used to be independent, but were conquered by the Targaryen dynasty
The Targaryens ruled for centuries, but were eventually usurped due to a crazed king
The Night's Watch were once the protectors of all men, but have fallen into disrepute as a useless group of bastards and former criminals
Civilizational entropy is all around the world of Westeros, and that's an idea that liberalism has never actually reckoned with.
I don't think the message is evil always wins. The theme is more that virtue is unrewarded in a political system, in favor of machinations and cunning. This is pretty obviously true, regardless of the system. The truly pure evil lose, as frequently as the good do, due to a lack of foresight.