The thing is looks like there was a story after all, it was just twisted and exaggerated by Dirty Naz with an obvious intent to smear Artemi's name. That's why Panarin hasn't said anything about it yet because you need to pick your words carefully so it wouldn't sound like confirmation that it's true or some bs excuse.
Rangers and Panarin went 'It's all Putin' route so everybody would stop even thinking that the story (even if twisted and exaggerated) could've had any place in reality. And it worked, the outcry about Putin's trying to destroy apparently his biggest political rival, hockey player Panarin, overshadowed any attempts to look at this story objectively. At both sides of the pond. One side is sure that it's absolutely not true, Artemi wouldn't hurt a fly and Putin just wants him gone, probably his family too. The other side is now leaning towards that the story is true because of the usual Western outcry about evil Putin and political martyr Panarin which automatically put them against the Panarin's supporters.
Rangers' strong reaction definitely threw a whole canister of oil into this dumpster fire of a story. And the fact that NHL doesn't want to investigate anything doesn't have a good look as well. Probably because it looks better for them that their player is just an innocent victim of totalitarian regime rather than a victim of some pro-Putin nutjob's over-exaggerated story from a distant past. Most people in the US already made up their mind that Panarin and his family are in danger for political reasons so why bother investigate anything.