You don't have to lose that money. Any bank will exchange foreign currency. If you get a lot of canadian currency, just save it up and take it to a bank to exchange it.
Sort of - if you bring in a bunch of coins(close to the border), they'll give you the exchange rate value, whereas when given as change it's as parity.
As to how much that costs me - insignificant, as I just hand them out to businesses again.