hello Donkey, I like you am wondering if there's tricks & traps or reasons to go with the US exchanges rather than Canadian ones.
Anyway, tho I barely understand this stuff myself, it appears there's one issue that turns out to be a non-issue, estate taxes. iShares raises it, I suppose to promote their Canadian-listed product:
http://ca.ishares.com/publish/content/Press_News/PDF/XEM_XWD_June_24_2009_EN.pdf
"These funds stand above and apart from others because they enable investors to access foreign markets while avoiding the currency and estate tax considerations usually associated with U.S.-listed ETFs."
but this post at
www.canadiancapitalist.com/new-ishares-emerging-market-and-world-etfs/#comments
seems to indicate it's a non-issue, so don't have to worry about it.
"iShares states in their press release that their two new ETFs avoid the U.S. estate tax that would be applied on one’s death if they owned the U.S. ETFs. One might suppose this would be a reason to invest in them. But the US estate tax currently applies only if an investor has over $3.5 million

in world assets. Even if they were above the threshold, there still are strategies to avoid the tax, e.g. incorporating etc."
... so no worries, hope I got that correct...