You have to remember, Roy was already 30 years old when he was traded to Colorado. That's John Tavares' age right now. The main part of his career was already behind him, but he aged really well and played on those memorable Colorado teams and he was a top player there too (even winning another Smythe, and even his run in 1996 was Smythe level but Sakic was just too good), so people remember him for both.
The 1993 run was the essence of Roy's career, the signature of it all.
I compare it to Mark Messier Edmonton vs. New York. Not a perfect comparison, but they are both one of those great superstars who are remembered as having played for two teams and winning championships on both as a Top 2 or Top 3 player on both teams. But like Roy with the Habs, Messier was definitely an Oilers.