There is not a whole lot of Canada specific content on the Roku box however there is some. The most noteworthy is perhaps the Global National Subchannel in the Nowhere TV private channel (Nowhere Man).
This is of course one of the main downsides of the Roku for Canadians trying to “cut cable”. The other downside is that sports is pretty much an all or nothing when it comes to hockey, you can get NHL’s Gamecenter app for the Roku. When you get this subscription it will work on pretty much all other mobile and otherwise network connected devices. It’s a popular subscription despite the cost however it is pretty much the only way to get hockey on the Roku and the only way to watch it live as far as I can tell.
Of course if you are just after more quality content on your Roku and you live in Canada (or anywhere outside USA) you can always try a smartDNS service like Overplay to dramatically improve your Roku experience. Check out how here.