Right, as you know full well, Waterloo CS grads do exceedingly well in the world, but in general, the top Canadian U’s are tough and weed out a fair amount. And while they are more flexible than most of the world (and many of the STEM programs there are well-regarded), they’re still not as flexible as the private American elites. And yes, they may not have as strong a sense of community as Yale. I think that top Canadian research universities are actually very comparable to top American public research universities (though a decent number of American publics have a stronger sense of community).
BTW, not just science but also engineering PhD programs (and many social science as well as some humanities PhD programs) in the US are fully-funded. A few science/engineering masters programs as well, in fact, though there are far fewer of those.