I don't think this causes a big distortion if you're comparing two players with similar PP time (which would be the case in Gretzky vs Lemieux).
I don't think Gretzky and Lemieux had similar power-play time. For one, in Lemieux's prime the Pens consistently had way more PP-opportunities than the Oilers in Gretzky's prime. And two, Lemieux was on the ice for more of the Pens' PP's than Gretzky for the Oilers' PP's. (As an example, in 1995-96, Lemieux was on the ice for 95% or 96% of the Pens' PP goals. He basically never left the ice when they had a power-play.)
More to the point: Who cares how many raw goals against there were? It's a meaningless stat in itself.
The salient matter is how many goals were scored minus goals against while the players were on the ice. The goal of hockey is not to be perfect defensively, but to score more goals than your opponent. 0-0 ties are not wins, and 2-1 wins do not earn more points in the standings or wins towards Cups than 7-4 wins.
Just in terms of even-strength, it's beyond dispute that Gretzky completely blows away Lemieux in terms of plus/minus. Indeed, in his prime he blows away every player in history with the possible exception of Orr (and if we did it by plus/minus per ice-time, I don't think Orr would beat Gretzky's [longer] prime either). There is just no comparison here:
Gretzky's plus/minus 1979-80 through 1991-92 (first thirteen years, which includes one year past his prime):
Overall =
+594
Per 82 games =
+49
NHL ranking over this period =
1st
Lemieux's plus/minus 1984-85 through 1996-97 (first thirteen years, and up to first "retirement"):
Overall =
+142
Per 82 games =
+16
NHL ranking over this period (min. 400 GP) =
27th
Per 70-games played or more, Gretzky in fact has the best seasonal plus/minus in NHL history for a player on a losing team (in 1980-81 he was +41).
As for isolating non-PP point production, we all knows Gretzky destroys Lemieux in every way:
Top ES + SH goals in a season:
Gretzky: 74, 67, 65, 53, 49, 43
Lemieux: 54, 53, 48, 38, 35, 32
Top ES + SH assists in a season:
Gretzky: 121, 100, 93, 89, 88, 81
Lemieux: 66, 52, 52, 50, 45, 44
Therefore, to cling to some notion that Lemieux was better defensively because of one season under Scotty Bowman is ridiculous.
But to humor this idea that raw goals-against have inherent meaning (they don't), there's also this:
Gretzky's total non-PP goals against 1979-80 through 1991-92 (first thirteen years, which includes one year past his prime):
Overall = 1229
Per 82 games = 101
Lemieux's total non-PP goals against 1984-85 through 1996-97 (first thirteen years, and up to first "retirement"):
Overall = 932
Per 82 games = 110
Given that Lemieux's 13 years include the slightly lower-scoring mid-90s, you'd think this comparison would favor him, yet he still comes out behind.
In conclusion: To suggest that Lemieux should rank above Gretzky because of defensive ability is absurd.