Massacre Wurm's first ability affects only creatures your opponents control at the time it resolves. Creatures they begin to control later in the turn won't get -2/-2.

Massacre Wurm's triggered ability triggers if a creature an opponent controls dies for any reason, including from its first ability reducing its toughness to 0, as long as Massacre Wurm remains on the battlefield.

If a creature an opponent controls dies at the same time as Massacre Wurm, Massacre Wurm's last ability triggers for that creature.

If your life total is brought to 0 or less at the same time that a creature an opponent controls is dealt lethal damage, you lose the game before Massacre Wurm's last ability goes on the stack.