Some other things to keep in mind:
NHLE tends to overrate players with elite linemates. E.g., Gagner (P. Kane)
NHLE tends to overrate players who play big powerplay minutes and get most of their points that way. E.g., Schremp
NHLE tends to underrate elite two-way forwards. E.g., Bergeron
NHLE tends to underrate defencemen who are solid at both ends. E.g., Pietrangelo
I don't have a link, but if I remember correctly NHLE is accurate +/- 18% the vast majority of the time. So if a player has an NHLE of 30, don't take that as he would get exactly 30 points, it means he would probably get between 25 and 35 points. The number is just a baseline based on the historical averages.
It's another tool to add to your toolbox of evaluation. You can take the number and adjust for player type, teammates, and usage based on what you've seen and/or read, and compare that with your own opinion and see if there is any similarities or extreme differences. Or you can use it as a quick reference of players you've never watched, knowing the above inaccuracies apply.
I couldn't find the r value either, but here's graph floating around showing there is a relationship. In case you need a graph to tell you players who score more in lesser leagues will probably score more in the NHL.