North Americans really need to realize that the Stanley Cup doesn't mean anything to almost all people outside of North America. In Sweden winning a Olympic Gold is huge, even winning a World Championship is huge, winning a Stanley Cup is not. Maybe for those that are really into the NHL, but they are such a small minority. A random Swede don't care about the NHL - many don't even know what it is.
Say Peter Forsberg to a random Swede and he/she will mention the -94 Olympics, not that he has won a Stanley Cup or that he has even played in the NHL. Mention Nicklas Lidström and people will talk about the goal he scored in the Olympic final against Finland in 2006, not that he has won Norris trophies, played for the Detroit Red Wings or won the Stanley Cup several times. Say Mats Sundin and you will also hear about the 2006 Olympics, or his World Championship Golds.
Of course it is not always the same for the players, but for some players it is and it really isn't that strange. And Russia is a lot more nationalistic than Sweden is, so it's no real suprise that a Russian player will feel Olympic/World Championship Gold >>>>>>>>> Stanley Cup, no matter if there are NHL-players playing or not.