So I'll try to break down their PP a wee bit, from the footage that I can find. Here's a setup that was executed picture perfect, and is very, VERY dangerous if PKers don't know how to defend it.
The Caps line up in a near-side 1-3-1 formation, much like the Flames do. However, rather than have the half boards guy (where we usually put Johnny) Backstrom be the most dangerous setup guy, that role is mostly with Kuznetsov. Backstrom sees the PKer take away the direct pass to Oshie, so he simply dishes it to Kuznetsov who has the option of firing it across to Oshie or Ovechkin (off screen) for one-timers. Oshie was the one who buried it this play.
However, if the Wild clue in and cover Oshie more closely, it opens up the possibility of a one timer pass to Ovechkin from either Backstrom or Kuznetsov.
What makes this play so dangerous is the "tic-tac-toe" factor - in this play Kuznetsov one-time delivered the pass to Oshie without the puck even settling on his stick. I don't think the Wild PK knew what the hell they were doing, as all 4 of them seem out of position in that frame. Mike Reilly (#4) in particular seems to be panic-scrambling.
Another two that has me thinking that the Wild PK just isn't that great - the PK forwards just can't seem to take away the passing lanes or they hang the D out to dry. Kuznetsov managed to rip the same shot twice on the same powerplay, but Dubnyk was up to the challenge.
But their setup isn't all that makes that PP so dangerous. They can even score off the rush on it because of how deceptive their breakout is.
Rather than use the Brodie Bump Back (as I've started calling it, they elect instead to threaten with 4 rushers up the ice - the puck carrier with speed and the other 3 almost in line as if threatening "Hey, he's totally going to lateral it to one of us!"
The Avalanche seem to be in agreement as they fan out to cover the lateral lanes, but Kuznetsov doesn't even get rid of the puck until after he crosses the blue line and draws both Comeau and Bibiero to him. From then on there it's a simple give-and-go tap in.
