No issues taking vehicle from US to Canada/vv. Don't really need to tell Hertz anything. The times I did was met with no response from Hertz rep. No need to tell CBP/CBSA anything either unless they ask about the vehicle. As a NEXUS trusted traveler, both agencies know my home state. The only time I've been ask if the vehicle plate is from a state not matching my home state.

Gas in US is cheaper than Canada so aim to fill up on the US side of the border.

However you definitely should get a print out of the rental agreement instead of the email copy regardless if you are pulled over by law enforcement even if not crossing international borders.