I think the Canada dealer is giving you a bunch of BS, at least on one point; having to take the car back to the US dealer. A US purchased extended warranty should be good at least through the US, not just at one dealership.

I would suggest asking the VA dealership to send you a copy of the warranty and read it thoroughly. It's probably there in black and white. It may also have a number you can call and ask this question. But I'd be inclined to go with the fine print. I've gotten plenty of wrong answers from customer reps before.