I don't think Nationality plays that big of a role to be honest, certainly not as big as some think. I'm Canadian, when I was a kid, my favourite player was Messier (not at all because he was Canadian and at the time I don't even think I would have known any better). At that time, 80%+ of the league was Canadian. Next favourite player was Fedorov. At that point, I was new more about Nationalities, but again, had nothing to do with it, I just liked his game.
For some reason, I'd think Russian fans would be more biased to Russian players....we'll maybe the reason is simply numbers. Far fewer Russian players in the league, so you'd think they would get the biased, maybe not. For that, I suspect you wouldn't have a lot of Russian fans of Crosby, or certainly not over Ovechkin. Canadian fans of Ovechkin though....hard to say, but I don't see much of a Nationality bias here....again, I'm sure there is some, but not overly significant. First, I think most Canadian fans would be fans of a particular Canadian team, so majority would have a favourite player on that team (Ovechkin plays for a US team obviously). If we are looking at Crosby vs. Ovechkin though.....not sure.....from the kids perspective (my son is 15)...so seeing him grow up and the kids around the rinks....seems to be a decent split between who their favourite is. For adults, topic doesn't really come up that much, I could probably see more of a bias in terms of nationality there, but for the most part, I think most would say they like this about his game and that about the other guys game, etc. Who they thought was the better player (I know that's different from favourite) I think would mostly be simply a logical analysis (maybe unconscious bias? who knows?)