OK, im not a parent, nor do I know much about hockey (so basically completely unqualified for this), but I am a second generation college baseball player, and I can tell you that from YOUR end of the deal, IMO you should teach him to be CONSTANTLY above reproach. He's going to figure out what he can get away with and how he can handle things on the ice, what he needs is for you to teach him the honor and the respect that will not only shape his hockey career, but will extend deep into his life.
Tell him to get good, clean, hard checks and to NEVER allow himself to make a single dirty play. Its about integrity, about doing it the right way, and being better than everyone else without stooping low.
YMMV