I am pretty sure that McDavid wants outta Edmonton (who wouldn't? lol), but I do expect him to give the diplomatic "I would like to stay" response if the issue comes up.
And a lot of players give that response and don't really mean it, but I think it's usually more complicated than that. I believe, say, that McDavid could mostly want out, but there's that part of him that does want it to work out in Edmonton.
I think he'll want to win a Stanley Cup above all else, so that will be the #1 factor for him staying or leaving.