Gretzky was better in earlier rounds. It's closer if you look at rounds 3 and 4 only
Rounds 1 and 2:
Lemieux 17 points in 12 games, and 5 goals
Gretzky 18 points in 7 games, and 6 goals
Rounds 3 and 4:
Lemieux 27 points in 11 games, and 11 goals
Gretzky 29 points in 11 games, and 11 goals
If you adjust for scoring era/opponents - you can possibly give Lemieux the edge here in rounds 3 and 4.
Lemieux in first 2 rounds was 4 points behind Recchi on his team (21 points in 12 games). Of course - Recchy only has 13 points rest of the way vs 27 for Lemieux. He had 9 more points than any Penguin in rounds 3 and 4. Also a team lead +14
Gretzky rounds 3 and 4 probably had a more help than Lemieux. He had Coffey with 25 points in 11 games, and Kurri with 22 (also 13 goals). Lemieux had support too, but definitely stood out more as the very clear MVP.
Both were also super clutch to close out important series:
Both with 11 points in last 4 games (all wins) of finals.
Lemieux with 11 points in last 4 games (all wins) of round 3 - Gretzky with 8 points in last 2 games (both wins) of round 3.
So very similar runs, Gretzky is simply more consistent early on and procudes more overall, and gets the edge.