According to his story, his disappearance in recent days was so that he could obtain an American visa without being tracked down by his Russian team, which, until they landed in Finland for training camp, controlled his passport. As soon as he received it in Helsinki, he slipped away, met up with one of his agents, and hid out until he had the visa processed so he could travel to the US on Wednesday.
It would appear that the Russian Hockey Federation has been left in a lousy bargaining position regarding the transfer fees they were hoping to negotiate with the NHL. Malkin has submitted his written notice to Metallurg Magnitogorsk to leave the team, although the team is now claiming that the notice is in fact a "crude falsification". Rejection hurts, don't it? Assuming his resignation does get accepted (what's the worst he'd have to do, submit another one?), there isn't likely to be any obstacle to him signing with the Penguins and reporting to training camp on time. By holding out for a better deal, the Russians may well have let their best player leave without getting anything in return.