When Gretzky was the undisputed best player in the league, yes, goaltending was a complete and utter joke. One of the best goalies of the era was on his own team!
After Lemieux took over that mantle un 1988, however, and continued being the best player in the league for every season he was healthy until 1996-97, he was facing Patrick Roy, Dominik Hasek, and Martin Brodeur, the three best goalies in NHL history...at their peaks. Not to mention regularly facing guys like Cujo, Beezer, Richter, and Kolzig.
Oh, and remember when he came back in 2000 after four seasons off, in the middle of the dead puck era no less...and he not only led the NHL in points-per-game but was scoring at a level unseen since the mid-90s?
Furthermore, Lemieux was consistently the best player in the league after the iron curtain fell and the best Russian and Czecho-Slovak players joined the league, meaning for the first time in decades the NHL actually was best on best. And Lemieux was the best of them all.
Gretzky had a higher peak and level of dominance, but I truly do believe Lemieux was better, especially when you start looking at adjusted stats.
Connor isn't there yet, but he's better than Crosby. I know scoring isn't everything, but Sid never led the Pens in scoring during any of the three Cup wins. Malkin was flat-out better in the first win, was neck-and-neck with Sid in the third win, and Kessel scored more in the second win. Malkin was a bigger contributor to the Cup wins than Draisaitl has been in these playoffs. If the Oilers went all the way last year or in 2017, that might be a different story.