Most players already do this. Matthews has been in Toronto for a while now, Tavares/Marner live here. Rielly and Nylander in Toronto already. It's almost common to just show up a few weeks early if only to sort everything out and deal with jetlag before camp.
However, I don't think they should. Didn't the Leafs get fined last season because the players voluntarily decided they'd rather travel the night before than the day of the game? The CBA ruled that it violated their off time.
How is requesting players to come early any different? It's violating their mandated CBA off-time. Also, the Stanley Cup isn't going to be won because a few Edmonton players showed up 2 weeks early to training camp, let them enjoy their last 2 weeks with their families because they're travelling multiple times a week for 8+ months.
The CBA should fine any team where a request is made by anyone of authority. McDavid's request basically becomes a demand because he's the team captain. It's not like its Warren Foegele requesting it where players can just ignore it without any consequence. Ignoring McDavid basically questions your work ethic, and everyone knows McDavid can easily demand a player be traded off the Oilers, they just hired his agent and longtime family friend to be CEO of the whole organization.
Lastly, where do you draw the line? McDavid requests 2 weeks early, let's say they have a bad season. Next year does he want them to come a month early? 2 months? Just let the players have their designated off-time. If YOU want to come 2 weeks early, go ahead. You can text your teammates privately also. Saying it to the media just puts the pressures on the players to give up time with their kids because you think it makes a difference.