Yeah, and I recall one of the clones (though I can't remember which) in TCW making a reference to the days of the Old Republic, as well. And dialogue in ROTS from Mace Windu ("The oppression of the Sith will never return!") and Darth Sidious ("Once more the Sith will rule the galaxy!") also seem to imply the galaxy being under Sith rule at some point, likely in the years preceding the destruction of the old Sith and Darth Bane instituting the Rule of Two. It's a simpler way of handling the thousand generations/thousand years incongruity than what the old EU came up with, where technically the Republic never actually fell but was 'reorganized' after the war that led to the extinction of the Sith. It's simpler in the new canon.Yes.
It's possible the Sith have conquered the galaxy more than once prior to Palpatine. There's a line in one of the Zygerrian episodes where Sidious mentions previous Sith Empires, plural. Now that could also just mean that there was a sequence of events similar to the EU version where the Sith were at one point this little isolationist Empire, hiding out in an uncharted corner of the galaxy (not unlike the First Order, come to think of it.) Another possibility is that the Sith Lords constant infighting resulted in a schism that split the old Sith Empire into two or more separate entities. Maybe this happened over and over across the centuries and millennia.
Personally I prefer the latter option as I was never really happy with the way the Sith were said to evolve in the EU. Another casualty of multiple authors having conflicting ideas and later ones attempting to stitch them together into one barely coherent whole.
Instead of the Sith being some primitive culture conquered by exiled fallen Jedi, I think it could be more interesting if the Jedi and Sith orders (in very different forms) once co-existed in balance. Maybe they were even one and the same until there was some doctrinal crisis and the Sith faction rejected the light and the notion of the cosmic/living force cycle and embraced the darkside. I've said before that I think the fundamental doctrinal disagreement between the two is that the Sith are fixated on the material realm and reject the idea of the netherworld of the cosmic force.
In the Ventress novel there's a little insight into the practices of the Nightsisters and it seems they could draw on the darkside without letting it consume them as the Sith do. It's far from easy, but could possibly point to a remnant of that theoretical pre-Sith order, when they and the Jedi were still "brothers in the force".