Under the US-Canada treaty, both countries have the right to set up preclearance stations in the other. Canada has not done so, presumably because the passenger counts don't justify it. But the option exists.

Governments have all kinds of operations on each other's soil, both military and civilian. Thousands of US federal employees go abroad for work each year, for all kinds of purposes. The reverse also happens.

It is important to note that CBP officers stationed abroad are not diplomats and don't get any special treatment. They don't have arrest powers, cannot carry guns, and cannot search passengers without permission. Their function is basically reduced to a clerical role of
checking paperwork and admitting or denying entry.

I personally have found preclearance officers to be far more respectful and less authoritarian, and have a better attitude, than those at US airports, presumably because of the lower amount of power they wield. They know that local law enforcement is less likely to back them up.

Whether it's a convenience or a burden depends on many factors, including whether you have a connecting flight after landing in the US, whether you have GE, lounge access, lots of luggage, etc. But overall, I would say that it on average, it's a convenience. For example, many India-US passengers are now willing to pay extra to fly Etihad rather than Emirates for this reason.