Exactly - though Gretzky did come awfully close with LA; losing in the Cup Finals in '93 and they did beat the Oilers in the playoffs the very first year after he was traded.
In fact, one could argue that Gretzky came the closest to winning of any of those 4 on a bad team. None of the others took a team with such a small amount of talent that far. Gretzky also had one of the best post-seasons ever that year, on what was really a very unspectacular team.
The other thing is, when Gretzky went to the kings they were the 4th worst team in the league. That next season they were the 4th best, and IIRC they went from 12 games under .500 to 11 games over .500. They also defeated the defending champion Oilers in the playoffs that year (a team good enough to win the very next year again). Gretzky still managed to win 3 scoring races as a king as well (though Lemieux was injured a couple of those seasons), so I really don't understand how anyone can hold the LA years against him. If anything, it should help to cement his claim as best of all time, not hurt it.
My list, for anyone interested:
5. Who cares, because everyone else is a large step down from here.
I give Gretzky the edge simply because of his dominance over the league, but also over his own teammates. People argue about the Oilers being such a stacked team, and they certainly were, but there were seasons Gretzky was over 100 points ahead of any teammate in scoring (such as his 212 pt season, where Coffee was 2nd on the team with 105... just under half as many points). I have a hard time crediting his success to his team when he's got double the points of his closest teammate. Certainly they were a factor, but I think their influence is often overrated.
The others all played with stars good enough to win scoring titles of their own, which to me is a large factor to consider as well.