I believe happiness should decrease temporarily if more units are killed, which could help to level things up and make this thing more fair.
Just ended up quitting another Immortal level. I have managed to capture two AI cities (including a capital), and defend myself (only because I'm on mongol civ with keshiks), but my happiness is -9 with almost no gold in. It's only 1000AD, but my opponnents already have frigates and 40+ defence cities. The CIV whos capital I have captured has only 2 cities left, but they are now more advanced and powerful then I am.
It's hard to imagine one can beat Immortal level, unless they start with a specific civ, on a specific terrain, with specific conditions (when they have a chance to eliminate a few rivals very, very early in the game). Otherwise it's a dead end - it's impossible even to conquer a city state

)
What's the point if things are unnatural? Bad, bad programming....