Championships really don't matter much IMO when judging individual players. How about Ray Bourque - played almost his entire career with Boston, then won a cup with Colorado at age 40 and retired. If he doesn't win that year and retires without a cup, I'm pretty sure that he's still a legendary player.
What about McDavid, if he stays loyal to EDM, plays there all his career and retires cupless, is he a lesser player than he would be if he left EDM for a better organization and won a cup before retiring? Not to me he isn't. Now of course if he comes to Toronto and wins a cup, he'll be immortal, but that's another story.
With so many teams in the league, cups are harder to win than ever, and the list of superstars who never win the cup will keep growing at an ever increasing rate.