Ian:
That is only partially right.
If you have a valid US hunting license/competition invitation AND ATFE form 6NIA, you can buy ammo legally and return to Canada with it.
You still have to abide by the US laws (primarily form 6NIA) and Canadian laws.
US customs can, and do the odd time, stop a car returning to Canada for a search.
To be quite honest, going to the US to illegally purchase certain products, without form 6NIA, to stupid, because if you are caught you will/could land in jail in the US or in jail in Canada for smuggling. You may get away with it 10 times but people get cocky and do it again and get caught, but it's usually not their fault.
You pays ya money and takes ya chances!