Gretzky, I think, would have been judged pretty harshly for no Cup. A bit like Lemieux's stock c.1990 (46-games point streak, 2 points-per-game, no Hart votes), or McDavid now if the Oilers never become really good.
We're still envisioning Gretzky with teammates like Messier, Coffey, Kurri, right? So, assuming Edmonton in the 80s had at least a competitive team for several years, and even more so if we keep them as a 100+ point team dominating their division, then Gretzky with 20 years and no Stanley Cup would face an avalanche of critics today. For evidence, see how much he (and the Oilers) were criticized in 1983 after losing to the Islanders. If it had gone like that for years and years, his rep would now be like Joe Thornton on a bunch of hockey steroids.
Part of this is era. In the early/mid-80s, it was still normal for an elite RS team to then challenge for the Cup, and it was the late Dynasty era.
Today, it's a little different. Like, if McDavid goes back to winning the scoring title every year and ends up with 5 or 6 Hart trophies and the Oilers from today forward are a very competitive team with great regular seasons, etc., for the next ten years, but they never win the Stanley Cup, would it affect McDavid's rep a lot...? I don't think so, provided he performs well in the playoffs as a general rule. But 30-40 years ago, it was different.