Duh. Of course it affects his legacy.
he has a super-awesome legacy right now, for his team, for their fans and for fans everywhere. one of the best ever, no question, and a better legacy than ~99% of players who have won the Cup! 99% implies for every 100 players who ever won a Cup, his legacy is better than 99 of them. So with about ~1450 player' names on the Cup, that puts his legacy no worse than #15, if he is the best player ever never to win a Cup....which right now he clearly is....so, pretty reasonable.
But it would be even better for everyone if he wins a Cup...1% better or 50% better, who knows...but clearly better.
Read about how Marcel Dionne or Darryl Sittler or Joe Thornton (or Brad Park...or Lundqvist...or Iginla...or Lindros, etc, etc ) feel about their own wonderful legacies. HHOF induction comments are littered with bittersweet memories of competing but never winning the Stanley Cup. A Cup quite simply adds to it...it's one of the things they all talk about. Ovechkin would agree, so does Ray Bourque.
McDavid has no worries about his place amongst the all-time greats, like Top 10-ish, give or take a few spots. But a Cup would make it easier for him to climb those rankings ,as he so easily could...because Cups make an actual difference in how players are viewed, by themselves, by organizations, by everyone.