know that in Vancouver, Toronto and Montreal, you go directly from an
incoming international flight to US customs. CATSA says they allow
duty free security bags but it's not clear whether they allow them
on US flights: ...

If you're passing through customs, you can expect to retrieve your bags
and re-check them. ...

(Unless this has changed very recently --

It changed about a year ago. In Toronto and Montreal (not sure about
Vancouver yet), you go to a holding area, scan your boarding pass, and
wait until your name shows up on a screen which means they've located
your bags and taken a picture of them. Then you go through US
customs, where they show you the picture to check that they found the
right bag. Unless you are sent to secondary inspection, which rarely
happens, your bags stay down in the baggage area and you don't collect
them.