As far as I can tell, everyone does have to collect their bags in YVR before proceeding.

I've wondered about doing this sort of thing also, but I'm not sure I would have the nerve. Anyway, so far it hasn't been the cheapest option, particularly when the expense and time involved in traveling from YVR-SEA in the first place is considered. Whether you take a bus or car, you have to allow for up to a 3-4 hour drive (or more if you might hit substantial traffic) and anywhere from 0-2 hours at the border (more likely about 1/2 hour, but this is unpredictable).