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Gollum, Shelob etc did not know Morgoth. Also I'm not sure I'd call them evil. Intersting point you raised here btw, Gollum was loyal to the ring and therefore in a way to Sauron. However Gollum feared Sauron. Could one say the same of Morgoth/Sauron's relationship? If when Morgoth corrupted Mairon or Sauron to his side, was it out of fear Sauron joined him?
If it was out of fear, then I would probably agree with you that he never was truly loyal. But if he joined Morgoth for some other reason then I'd say he was loyal. Also there was no way Sauron could free Morgoth. So that he never tried to free Morgoth doesn't mean he wasn't loyal to him, because there was no way he could do that anyway so. I'm still going with this:
Sauron is more loyal to Morgoth than he is to the valar by being loyal to himself.
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