I can only answer part of your question. Your SLR has mini HDMI and a mini USB out. Your MBP has three ways to connect: USB, FW 800 (9 pin) and Thunderbolt (which is ao far supported by a limited number of devices).
As far as I know, you will not be able to use On Location with the Canon. But I could be wtong. Good places to ask are the Adobe forums and Canon forums.