I agree with you...I am a goalie that played at a high level and I have never gone down on my knees for a icing and assumed it was going to be called. Icings get waved off all the time and refs make mistakes. You have to play to the whistle and that was a very poor effort for a save by Lehner... I think he is mad because he very easily could have had that if he had been ready.
I think I see the problem.
At the 3 second mark of the above replay, the Linesman at the Russia blueline signaled icing. He's at the bottom of the screen.
However, at the 5 second mark, the other Linesman manning the Swedish blueline waved it off, but he's at the top of the screen.
Since the puck was coming down the bottom of the screen to Lehner's left, he apparently didn't look to his right for the signal from the Linesman at the Swedish blueline.
So, while you can argue whether it should have been icing, you can't say that the Linesman didn't give the wave off signal, which he clearly did at the 5 second mark.
It was a very tough play for Lehner, as the angle with which the puck come off the boards, he had to watch it to make sure it wasn't on the net. So, he must have seen the Linesmen at the Russian blueline signal for the icing, but he missed looking to his right for the linesman at the Swedish blueline wave it off. Again, with the angle that the puck came off the boards, he had to keep his eyes on the puck.
Icings are like Blackjack at a casino. You have to watch for the hand signals as a dealer, either tap the mat for another card or wave over your cards to stay.