I think the Conn Smythe thing for McDavid is a losing proposition. If he had come out, some people would be all over him for "thinking selfishly", for "not being with his team", for "putting individual gain over collective loss". Honestly, either way, he will be criticized.
It is a hard call to make, I think. He is the captain, his team just lost a heart breaker, they are in their opponents' rink, and their opponent is celebrating. And precedent is overwhelmingly Conn Smythe generally goes to a player on the winning team. In that whole scenario, he may not even be thinking about the Conn Smythe. Putting myself in his shoes, I'd be mourning the loss with my team, encouraging my teammates, and comforting others. If I was the leader, I would just naturally do that, not think of myself, etc.
The only thing I will say is, at the very least, let Bettman and the league know in advance what his intentions were so that Bettman will not look like a fool standing there (yes, I know that is already natural for Bettman). I would think a good compromise would be for McDavid to send out someone from the team to pick it up.
I think requiring the players to celebrate a certain way is not necessarily great for the game. International competition is so full of protocol and such that it becomes just a rote exercise. I love the organic nature of the NHL games and post game customs, none of which are regulated, controlled and becomes merely following protocol and process.