What causes you to think you will be required to purchase LDW?
Reading the location terms and conditions at Thrifty.com, I don't see any mention of requiring LDW (unlike, say, any of the rental agencies in Costa Rica--if you want to see scary terms and conditions, check those out!).
What, specifically, did they tell you on the phone? On what basis would they require you to purchase LDW?
As far as I've ever known, here in the U.S. and Canada, regardless of whether you have existing collision coverage, you will not be made to purchase any coverage from the rental agency (in some jurisdictions, requring coverage is actually illegal).
Do you have your own collision coverage (either on a personal auto insurance policy or through a credit card)? If so, then there should be absolutely no reason they can require you to purchase coverage. If you don't, then they may have a policy requiring you to purchase LDW, which may or may not be legal in Montreal. If they do not have this policy, or if it is illegal, then you are free to decline the coverage even if you do not have your own. However, think twice before doing so. Nothing sucks worse than making a several-hundred-dollar-per-month payment on a car you don't own and will never see again.