You're right.....I was mistaken; I dunno why I remember Galadrial saying that !
Wait I remember.....she did call Sauron as the 'servant' of Morgoth in the Hobbit - Battle of 5 Armies at Dol Goldur !
Thats precisely why I thought that Morgoth was before all of that but I still had a faint recollection of him being mentioned here - That must be it.
Though I wonder why is it that the Ainur like Morgoth aren't called as the Firstborn - the first creations of Illuvitar - and instead the Elves are called as such; they were, technically, the first creation !