Yes, Gretzky was booed his first game back to Edmonton, but it really a mix. Some fans felt the Oilers (and Canada to a certain extent) betrayed him, and others felt that it was Gretzky's fault. Oil fans are quite fickle.
When Gretzky was traded (happened right after they won the Cup - rumours were already flying when they were celebrating), fans were enraged at Peter Pocklington for trading away "Canada's treasure." The trade made business sense for Pocklington.
That's the extent of my knowledge on that. Hope it helps.