Cortana and the Band do not require your phone to be set to the US Region to work. Microsoft Health requires the US Region to download and update the app, but to run and sync the app with your band, it can be set to the Canadian Region.
The latest MS Health update (the one that changed the tile icon to a heart) allows your language settings to be set to English (Canada) as well so you can use the Alpha version of Cortana with your Band and your phone without issue. Previously, in order to sync to the MS Health app, you had to set your language to English (United States), but then Cortana wouldn't work if your region was set to Canada. That is no longer the case and everything works flawlessly.
In short - only updating and downloading the actual MS Health app requires region switching to the US. Once you've updated, switch back to Canada.
Edit - I have a 920, so Hey Cortana isn't possible, but the rest works.