Are Apple Watches with cellular GEO locked?

Sort of.

Certain regions have their own models of Apple Watch and models from other regions cannot be setup with carriers there, however, with newer models if you are just traveling, your watch can roam and connect to the local carriers there.

With Canada this is not too much of an issue, since the Apple Watch models are the same for USA.

So they should roam, and can be used directly with local carriers too.

click here ➜ Apple Watch - Carriers - Apple

The supported LTE Bands might be different, depending on the carrier in the country of purchase, which has to support the Appel Watch.

Have a look at this related article, which also lists the carriers that support the Appel Watch.

...

To cover the LTE and UMTS bands used around the world, there are two separate cellular models for Apple Watch. They have been optimized for use in the country of purchase, and not all models work in all countries or regions. There is no single model that supports cellular service worldwide.

...

copied from: Apple Watch - Carriers - Apple

The biggest difference is features that are locked out of specific countries.

watchOS - Feature Availability - Apple

Cross check that the features not specified in the region you are buying the Apple Watch are not features you really want.

For example, in the U.S. the Oxygen Sensor is legally blocked (tied up in court), and even taking the U.S. Apple Watch out of the country will NOT allow the sensor to be enabled.

As for U.S. vs Canada cellular bands, that is not an issue.

Again, cross check the Canada vs U.S. feature list to make sure what you really want is available after you buy.