I disagree with the answer that says to always fail the first one. Unpredictability is usually a huge part of the strategy for the evil team.
I played a game just last night where the first quest was 2 people, both evil. They passed the mission added a third good person, passed the second mission. Then managed to sail through the rest of the game without suspicion and fail the next 3 missions consecutively.
I think it depends a lot on the situation. If I'm evil and on the first team sometimes I will fail it if I have another evil person on the team, so we can just cast suspicion on each other and hopefully the good team will never suspect us both, but this involves signaling so we don't both fail it.
I'll also fail it if I think I can convince everyone one of the other team members is guilty.
But depending on the order it can be beneficial to pass the first mission, also sometimes I end up on a team with someone I know is extremely vocal and once they know I'm evil will stop at nothing to have me off the team, so if it is a team of 2 I'm usually more wary to fail it.
Another thing to keep in mind is if you are playing the Avalon addition and are Mordred you could give yourself away to Merlin, which is a huge disadvantage for the evil team. Its better to get a known evil person on the team to fail it or hide in a team of 4.