It shouldn't be a problem but it always depends on your rental agreement/CDP (some corporate CDP may not allow renters to cross the border), rental location or even specific vehicle insurance restrictions.
Normally when you rent at major airports near Canada such as Buffalo or Seattle, staff don't really note it down in their system.
However, under Hertz official T&C, you have to let them known at the counter/exit booth before departure. When it comes to accidents, things can get ugly. It's better to call them and at least let Hertz know before entering Canada.

I had a trouble where Hertz rented me a vehicle without registration and insurance card and I was asked to go back to the state and switch the vehicle by CBSA at the border.