It seemed fairly unambiguous from Highlander movie (and Highlander 2: It didn't happen) that by killing Kurgan, Connor MacLeod won the Prize.
Yet, from further franchise - the series and the later movies - it is clearly unambiguous that he couldn't have possibly won it since there were TONS more Immortals left than "The one."
Was the first statement's contradiction with the second one ever explicitly explained/retconned in canon (either material itself, or one of the creators)?
TL;DR: No, this discrepancy is never explicitly dealt with, and in fact, most of the later material appears to operate in a universe where that specific element of the first movie simply never happened.
I have not seen Highlander: The Source but I have seen the other 4 movies, much of the TV series, and the first few issues of the comic book. I also found an animated series (a lot of it is on YouTube and it's not bad) that is set in the future, but includes Connor's backstory. As far as I have seen, the media is split into two distinct timelines:
For the first movie (and the nameless fiasco), there was no Duncan yet, so those two movies operate on the assumption that Connor really was the last Immortal on Earth and really did win the Prize. The third movie was made after the TV show began airing, but it too largely ignores the issue; instead, The Final Dimension reveals that some living Immortals "hid" from the Gathering, and only when they reemerged does Connor's immortality kick back in and the Game resumes with Connor again winning the Prize in 2024.
In the pilot of the TV show, which supposedly happens in 1992, we meet Duncan McLeod, another immortal that Connor has known for centuries. As Duncan was first killed in the 1600s and was clearly alive in 1985, there is no way Connor was the last living Immortal on Earth. When Connor appears and explains the Game to Tessa, including the One Rule and the Prize, he expresses horror at the idea of certain Immortals winning the Prize. Connor never reappears on the TV show and nothing is ever mentioned about it again. It's clear from the beginning that Connor, as far as the TV show goes, did not win the Prize in the first film, but that otherwise the show is supposed to be a continuation of the first movie (and ignores the second and third).
Similarly, the animated series incorporates the first movie into its own continuity as past history, but it makes no mention of Connor winning the Game. Instead, the Immortals all mutually agree to stop playing the Game to deal with a major catastrophe, but the Game is still on (and one Immortal is still trying to win.)
The comic book series (the first one at least) is also intended to follow directly from the events of the first movie, and they also ignore the fact that the Kurgan's defeat should have ended the Game. Instead, Connor merely received some sort of "evil Quickening" that was different from a normal Quickening but not the Prize.
The fourth and fifth movies follow essentially from the timeline of the TV series, with both Duncan and Connor appearing as their respective characters and The Game still well underway. No mention is made of Connor ever winning the Prize, and in fact in the fourth movie we find out that The Watchers are actively trying to prevent anyone from winning, by secluding them at the Sanctuary.
(I haven't read any of the second comic series but AFAIK it is supposed to be entirely a prequel to Highlander and, as such, wouldn't shed much light on the subject.)
Overall, it seems that the sanest and least stressful way to interpret Highlander canon is to:
In the television show, it was mentioned at some point (I think when Duncan was learning about the Watchers) that the Kurgan/Connor fight is what effectively started the Gathering.
I'm not so sure on this next bit, but the Quickening received by Connor wasn't the be-all/end-all, but just a great big charge, as the Kurgan had killed hundreds of Immortals.
Highlander 2 was a horrible movie. At no point in the movie was any of it comprehensible enough that I can say with certainty that they did not retcon it. Who can say? But, having watched it once I think that they more or less blatantly ignored the inconsistencies.
I believe that, in incredible and exceptional circumstances that we as fans can ignore such things as if they were not canon.
However, we can't do that for the third sequel necessarily. It's hardly high art, but it's at least somewhat consistent with the first movie, plot holes excepted. No longer is MacLeod an alien and no longer does Earth live under a space-shield. I think that this movie again ignores it with a "oops, looks like there was one more Immortal" sort of suggestion. It's not as if anyone had ever won the Prize before, so maybe he wouldn't know. I'd call this poor writing, except that it's Shakespeare compared to the previous sequel.
If there have been subsequent sequels to the third, I have not seen them and cannot comment.
For the series, I believe this is somewhat akin to the phenomenon with Stargate (movie) and Stargate SG-1. The series wanted to tell a different kind of a story, and so it's more of a "based on" than a continuation of the movie(s). Now, though I have not seen it, I am aware of a guest appearance by Lambert, and though that kind of throws a monkey wrench into my explanation, you have to admit that this was done more for a ratings ploy (or even as a bone to the more zealous fans) than it was done because it made for a well-written story.
If you simply eliminate the second movie, let's call it a bad dream that Connor had while sleeping away in the Sanctuary, the plotline exists as follows.
One could argue that Connor would have known that Duncan was around as Connor was Duncan's Mentor in the 1600s, however keep this in mind, Duncan could easily have been killed by another Immortal. The events of Highlander 1 took place before the series began. The series was in progress during the production of Highlander 3. Basically at this point Connor realizes, oh, I guess that I'm not the last one. During the production of the series, Connor goes into the Sanctuary, and the series picks up the plot. Duncan has many wild adventures and saves Connor from the Sanctuary (Highlander 4) whom subsequently becomes a head shorter. Highlander 5 follows basically the Watcher mythology and the search for the source of immortality.
I know that this is not perfect, but in a universe where the characters live hundreds, if not thousands of years, they have a lot of time to do a ton of stuff.
This is just IMO.
Still no one mentions the series in the "watchers" the kirgan/connor fight is mentioned. The watchers state this started the end of the game.
