Interesting observation. In fact some of the greatest skaters from the past who missed out on Olympic gold include:
Toller Cranston although he did win the bronze
Karen Magnussen although she did win the silver
Janet Lynn - never made the Olympic podium
These three great skaters missed the top of the podium due to their figures. Karen Magnussen was edged out by Trixi Schuba at the 1972 Saporo games. Although Karen certainly surpassed Trixi in the free skate she had to settle for Silver as Trixi was such a superb figure skater. Toller Cranston won the Bronze medal at the1976 Winter Olympics, Innsbruck, Austria. Toller always felt he had not quite "made the grade" or "graduated" is how he puts it by not capturing the gold. Janet Lynn too was surpassed by the great Trixi Schuba in figures.
So Kwan and Slutskaya are not alone without Olympic gold. There have been many great skaters over the years who have not won Olympic gold, but it does not take away from their talent or contributions they have made to the sport of figure skating.
Toller for instance left the legacy of being one of the greatest influences of all time in male skating.
More on Toller:
http://www.histori.ca/minutes/minute.do;jsessionid=957BE3EC383912C50EA7382926FEAFFF.tomcat2?id=14242