From Amazon support:
People from all over the world can use your Amazon.com links to
purchase from the Amazon.com web site and your Associates account
would earn a referral fee. However, if they chose to go to Amazon.ca
to place their order, you would not earn a referral fee. Your
Amazon.com Associates account will only be credited when someone
uses a link to come to Amazon.com and place their order.
That is a bit of a bummer but I guess it would be tricky for them to tie everything together for taxes and whatnot.