You build a good team through the draft. We could be in cap hell and we don't have one super star player.
Yep, just look at the St. Louis Blues roster:
Steen - drafted by Toronto
ROR - drafted by Colorado
Tarasenko - drafted by STL
Schwartz - drafted by STL
Schenn - drafted by LA
Bozak - drafted by Toronto
Perron - drafted by STL
Thomas - drafted by STL
MacEachern - drafted by STL
Thorburn - drafted by Buffalo
Maroon - drafted by Philadelphia
Barbashev - drafted by STL
Fabbri - drafted by STL
Blais - drafted by STL
Sanford - drafted by Washington
Sundqvist - drafted by Pittsburgh
While drafting has its place, I think that you are overstating the importance of the draft to build teams. Some of the players with significant contributions weren't necessarily drafted by STL. Then you have players like Perron, who were drafted in STL, but left, only to eventually return via free agency and/or trades.
O'Reilly cost STL Berglund (drafted by STL), Sobotka (drafted by PIT), and Thompson (drafted by STL), plus two future pick.
The truth of the matter is that the draft is exactly how Chayka analyzes it - we are taking players for their talent, knowing full well that they may or may not play in Arizona. That talent needs to continue as a pipeline to allow the team to make trades that pursue an O'Reilly or a Johansson, like the SCF teams. I think the draft gives you the means to supplement your roster not so that these players all don the Coyote sweater, but so that we have all tools at our disposal to obtain the best fits, even if the draftees don't turn out to be the best fits in the end.
There is a reason why the Coyotes were often involved in secondary trades - there was little drafted talent that could turn into better players. There is a reason why trades like Sean O'Donnell for Joel Perrault and Werek for Lindberg occurred - we had limited talent to bring in better pieces.