Although he didn't win the Stanley Cup, the best player in the world, Connor McDavid, won the Conn Smythe Trophy, which is quite rare.
Unfortunately, and understandably, McDavid did not show up to accept his prize. He is a team player, and clearly, the disappointment was too great for him.
Connor McDavid was suffering from a very serious injury
According to Zach Laing, the Oilers' captain was in a lot of pain during the final, which didn't stop him from scoring 11 points in 7 games.
In fact, both he and Leon Draisaitl were seriously injured. This doesn't explain the loss, but it shows how much they wanted the Stanley Cup.