Well I'm going to assume this though I've never heard a real solid fact. And indeed when you do call the head office of BMW for Canada they simply will not answer it.
But is probably because of the market difference. How the population of Canada is 30 million, well in California the population is pretty much 30 million in one state! Therefore the more people in one place the high the competition, and lower the prices.
They just want us Canadians to buy within Canada because its good the Canadian Economy, but at the same time they don't want you to save your money by going down into the states because your not American, and don't live in a population of 300 million... Which I believe is VERY unfair! We should be allowed to have the savings as American's do, but then again it's the market that decides for us. Or it can be a government consipiracy forcing dealerships to make it hard for us to import. So that we'd buy here in Canada to help out the Canadian Economy.
Thanks just my two cents.