I don't really buy any of the hard-materialist explanations in this thread. I don't think its market, I dont think its sport, and I don't (really) think it's personality. I think it's that McDavid's career lacks a compelling narrative.
There are athletes in less popular sports throughout the past 2 decades that have far more compelling narratives that create a "fear of missing out" in the general public to not follow it as it unfolds. Phelps in swimming. Serena Williams in Womens Tennis. "The Big 3" of Nadal, Federer, and Djokovic in Mens Tennis. Caitlyn Clark in Womens Basketball. Even someone like Shohei Ohtani in Baseball. These players, more than just being good at a sport (and in many of these cases, not really a popular sport, either), have a compelling narrative around their careers. Phelps going for 8 gold medals in 2008. The race of Slams for the big 3 - culminating in some all-time iconic duels with their own sub-narratives like Wimbledon 2008 and Australian Open 2012. Caitlyn Clark putting womens basketball on the map and all of the drama with her presence in the sport. Shohei being the worlds only real two-way player sicne Babe Ruth and being the hero of an entire nation - culminating in pitching out Trout in the World Championships.
This is what Sports are about - storytelling. People are compelled watching interesting human beings pushing their lives to the limit to accomplish incredible things. Making compelling stories out of their career. Building "aura". It's why Kobe Bryant is more popular than Tim Duncan. Why The Big 3 are more popular than Alcaraz. Why Mahomes and Brady are cultural icons. Indeed, why Sidney Crosby is more famous than Connor McDavid. Winning has a lot to do with it, and indeed, seems to be a necessary pre-requisite for building a strong narrative out of your career, building a case of greatness: it needs to culminate in the ultimate triumph, at least once. Crosby has that in spades: he had a fascinating rivalry with Ovechkin from day 1 in terms of style, nationality, and demeanor; he won a cup early on in Pittsburgh, raising it above his head as the face of the sport; and as that face of the sport, he scored the golden goal in 2010 in front of millions of casual fans and became a Candian hero.
Because McDavid has never won, and because he has no real strong personality to shore up that deficit in winning, there is no real "legend" to McDavid that makes it imperative to watch him play. People feld that they NEEDED to watch Phelps go for gold. They felt that they NEEDED to watch Federer and Nadal duke it out in the twilight on grass. They felt that they NEEDED to watch LeBron and Curry duel for their legacies. They felt that they NEEDED to see if Brady could somehow do it again. People do not nearly feel the same need to watch McDavid play in the regular season so that he can win another regular season trophy. Like someone else in this thread said, McDavid is the Mike Trout of hockey. An all-time great that hasn't (yet) won the ultimate prize.