The NHL has had kind of the opposite evolution of the other three "big 4" sports.
The NFL used to be a run first league and then rules were implemented to make it more difficult to defense and easier to pass which is why we see multiple guys throwing for 4,500 yards and some even topping 5,000 yards while guys like Montana never even topped 4,000 passing yards. Players today are putting up ridiculous numbers that make past QBs look like trash but it's just a different game.
Baseball players are evaluated on different metrics than in the past so it's hard to compare. There's also an entire era of tainted superstars which again makes it hard to really say who the GOAT is. I'll also vehemently argue that there has not been a GOAT level player in the MLB that has dominated more than guys like Crosby, Ovechkin or McDavid have. Trout is the name people toss out there but his 2 MVPs are nothing next to Bonds and his 7 and while he might have been juiced for the last decade of his career, so was the rest of the league.
The NBA has moved from a team game to teams of superstars who just end up pumping up each others numbers. Even still Lebron is probably #2 to MJ and at the very least there's no consensus.
The NHL went from a league that averaged over 7 goals a game for over a decade straight and even had an 8 goal a game average which happened to be in the middle of Gretzky's peak. Now we just saw the second season in the past 20 years with more than 6 goals a game on average. The numbers players used the put up dwarf what we see today while other sports it's the other way around.
Also, Hasek, Roy, and Brodeur all retired fairly recently and all have an argument as the GOAT among goalies (it's Hasek).