You keep on saying this and it continues to be untrue. The Penguins signed Gonchar in 2005. The Bruins signed Chara in 2006. Pretty much all of the Cup winners since the 05 lockout brought in significant veteran pieces of their Cup winning rosters via free agency or trade while they were still bad. Rebuilding teams do this all the time.
And while I agree with the need to have a homegrown superstar, that's more about the lack of available superstars who already play for other teams than some devotion to drafting and developing alone. Because of that, they need to draft and develop a superstar forward (top-5 at their position) and at least 1 other forward or 1 other D who is top-10 at their position.. Then they need to find 2 more skaters who are top-15 in their position, whether that's through trade, free agency, or homegrown doesn't matter. They need to draft and develop tweener depth, plus augment it with a veteran or two from trade or free agency. And they need a goalie capable of stealing games, though not necessarily a goalie at the very top of the league... doesn't matter how they acquire him. Rangers management needs to do ALL of this.
There are parts of this that the Rangers already have, though some of them are trumped by the future assets they can get in return in order to try to draft and develop those top-end players. There are parts they already hopefully have in the system: Shestyorkin could take care of the goalie element, plus hopefully at least one of Chytil, Andersson, Kravtsov, Hajek, or Miller develop into a top-10 player at their position. Your likelihood of drafting all 4 skaters you need who are top players at their positions is really really small. Nobody has done it. The Penguins didn't. The Blackhawks didn't. The Kings didn't. The Bruins didn't. The Capitals didn't.
The teams that win the Cup fill in those blanks when the opportunity to do so presents itself, regardless of where they are in the rebuilding process.