If Ovechkin retired today, he'd be the greatest player ever not to win a Cup. Nevermind the fact that he's never even been to the conference finals, much like Marcel Dionne, who's likely right behind him as greatest player not to win one.
His teams just haven't been able to pull through in big moments. He's averaging about a point per game in the playoffs, so you can't really say he's underachieving. Will be interesting to see if he stays in Washington his entire career or chooses to chase a Cup elsewhere.
I certainly hope he does win a cup, I think he's amazing, he just needs a better team, and Washington may be on the way to becoming that.