There's a problem here.
Of the players who can, by any tortured definition, be considered Gretzky's peers (like 10 or 15 guys) Richard, Roy, Shore, Harvey and Gretzky all did some coaching. No all time great coaches in that group, but Roy has his Adams trophy and Shore won a lot in the AHL.
For the guys in the range just below Shore in our (or anybody's) top-100, down to wherever you rank Jacques Lemaire-types, there are plenty of good coaches (Robinson, Boucher, etc.) and a few all time greats (Blake, Patrick), but out of those 150-200 guys, did a third of them become coaches? Without counting, I'd guess no. Think about how many players of Mike Sullivan's calibre have moved through the NHL in the past 100 years. How many of them became good coaches? How about guys who reached Mike Babcock's level? I'd expect most posters here have gone to high school with a half dozen guys who fall in that range. How many Babcocks are there in the thousands of guys like that?
I'd say coaching success in the NHL is positively correlated with on-ice success, just not to the point where you can reliably expect even a Gretzky to be an instant success.