OP.
Retailers in the US are quite happy to sell to Canadians true. The intent is that you will use the ammunition purchased within the borders of the usa.
CBSA has zero issue on their end with importing up to 5000 rounds per day this is correct as well.
It is the BATF and US Federal export law where the problem lies. The law is very clear in the us. You may not export ammunition ( take outside of the US) without a valid export permit. Truthfully if it was as easy as running across the border into Buffalo or other places in New York or Michigan do you not think it would be done by everyone?
Getting away with something doesn't make it legal it just means that you haven't been caught at it.
I have attempted several times to paste the link to the BATF site that addresses this. However the forums are still quite glitchy.