There are 2 Apple Watch cellular radios
• Canada, U.S. Mexico, Puerto Rico
• The rest of the world
Carriers will not attempt to connect to an Apple Watch that does not use the correct radio.
If you do not get your Apple Watch in your own country, you may have to return the Apple Watch to the country where purchased to get warranty service.
If you do not get your Apple Watch in your own country, there may be country specific restrictions in the installed Apple Watch software that prevent features from working when you get home.
https://www.apple.com/watchos/feature-availability
When you get to Canada, you will ONLY be able to use your Apple Watch as if it was a GPS only Apple Watch. The GPS only Apple Watch can do Everything the Cellular model can do AS LONG AS your iPhone is nearby, where nearby is generally somewhere in the same moderately sized home. The Cellular model allows you to leave your iPhone at home while you go for a walk, run, bike ride.