The Allies have their advantages. It’s in the number of powers they have, the fact that there are backtoback turns, and the fact that these multiple powers are located in the same place, where they can work together. The Axis only have Germany and Italy together for awhile, and ANZ/France can interrupt their combined moves.
Also, China’s ability to build unlimited in any territory, even newly taken ones, is potent.
Ability of UK to land air on territories the USA or China just took is also very powerful. (Also, ANZ following up on USA/China/UK before Germany or Japan, although not Italy)
I think you have to know what you’re doing to win as Allies to be consistently successful - it just doesn’t take as much experience to win with the Axis. If you know what you’re doing with the Allies, you do not need to get lucky to win, so I disagree with Cow on that point.
If you play G40 like previous games of A&A, you will have a very hard time winning with the Allies. There are various situations where the Allies should voluntarily enter situations where they do not have >50% chance to win a battle, or have a negative net TUV expected result. Their units, in general, are not as valuable as the Axis units. If you are afraid to lose units as Allies, the Axis player can just go down their checklist and take out one Allied stronghold at a time using all of their power. The Allies need to try throwing monkey wrenches in the gears, and sometimes those monkey wrenches will just get crushed with little to no effect. In my experience so far, few players are able to grasp this concept. The other thing is, the Axis already have all the powerful units in position, and you are in control of the game situation, the politics, and the game. The Allied player has to react to you. Taking the Axis fits much easier with previous A&A experience - learning the G40 Allies takes some time and experience, but with know-how, they do have a 50% chance of winning. Maybe. :-P