It seems to be official...

According to articles on both ESPN (via the AP) and TSN (via Reuters from a Russian news agency), Evgeni Malkin has indeed left training camp in Finland with his belongings and passport. The ESPN article speculates a bit more as to what is going on, but it seems clear (to me, at least) that the only reason to do this at all is that Evgeni wants to come to North America.