I don't know much about the big hockey states (3Ms- Minnesota, Michigan, and Massachusetts), but in the mid-Atlantic, I would say hockey actually leans slightly conservative, but not overwhelmingly. In this area, hockey is an expensive sport and most top programs are at Catholic high schools. Even in NJ, the best hockey programs are in conservative areas such as Brick in Ocean County and Morris/Passaic counties.
I'd say hockey is apolitical here because it's just ubiquitous... but the heart of hockey country here is the Iron Range, which is strongly Democratic... so take from that what you will.