Are you actually surprised? It is New York. Every prospect to come up is the next #99 and every loss means it's time to blow it all up.
I could only "blame" one goal on Lundqvist and that's the Kucherov breakaway goal, but then again it was a breakaway.
I think we just match up really well against the Rangers because we are able to use their speed game against them. We have more speed and talent up and down the roster, so there is no chance they can beat us with that game plan. The Rangers also really need to stop the silly hail mary lob pass through the neutral zone. Too easy to pick up and it won't work against the good teams.
This is all just a personal little theory of mine based on watching a lot of Rangers games this year (as well as our games).
What I've noticed they do well is attack the passing lanes with speedy wingers. Once they strip a puck off someone or intercept a pass it's damn near impossible to stop the guy because everyone who was on the attack has to turn around and few of them are as fast as Hagelin, Kreider, et al.
It works really well because one guy on the Rangers sprinting to the D-zone forces everyone on the ice to sprint back to defend--they don't really care about capitalizing on possession time in the O-zone because they know they're just going to get another breakaway chance later when the other team is now more tired. It's a wonderful strategy for a speedy, non-physical team with nonelite centers (less board grinding, less passing schemes).
It breaks down when the other team is also fast and has defensemen that will start sprinting back at the first sign of possession change (not to mention the extremely cautious passing we saw last night). This forces them to carry the puck forward and play as 5. They have some players that can excel at this (e.g. MSL, Nash), but it isn't what they're used to and I suspect the Rangers' D is less comfortable doing it.