I've never blamed him for the fact that he doesn't have a Cup, but in my honest opinion, losing in the Cup final this year may give some support to the notion that you can't win with him as your main guy (I am not saying that I would believe that personally).
In the past, he played on teams that just weren't good enough to win it all. Last year, he, Bouchard, Draisaitl and a great PK basically dragged EDM to within one game of a Cup win (and Draisaitl wasn't that good after round two). This year, EDM has looked great in the playoffs and has home ice advantage in the SCF. Obviously, FLA is a strong team and beating the Panthers wouldn't be easy for any team, but you really can't say the Oilers have no business being in the Cup Final or have no chance against FLA.
I'm picking EDM to win. If FLA wins and McDavid has a poor or mediocre series, it'll definitely be a blown opportunity for him and may be something people look back on and point to as a reason to keep him out of the Big Five or Four. If he has a great series and FLA wins because EDM's PK is trash and/or Skinner turns into a pumpkin, then the loss shouldn't be held against McDavid... but it definitely will be by some.