It is my understanding that you are allowed to do this on an award, as you are not "paying" the US carrier to transport you. I've certainly done it on an award before (YYZ-ORD-YVR on AC and UA, issued by US), and have had no problems at all with any of the airlines or at immigration.

There are other examples of this, for instance, DL flies JFK-BCN-MAD-JFK and you can fly the BCN-MAD segment (by itself) as part of an award.

There are examples of US carriers selling Canada-US-Canada travel as part of a single ticket as well; I am not sure how they justify it (looks like they record it as two separate segments on the fare breakdown, although each one is priced lower than if you bought them individually) - you can book America West from Toronto to Vancouver for about $250 (US) one way leaving tomorrow plus $58 in taxes, broken down as follows:

Tax: US Domestic Segment $6.40
Tax: Canada GST $18.15
Fee: US Immigration $7.00
Fee: US Passenger Facility Charge $4.50
September 11 Security Fee $2.50
Fee: Canadian Airport Improvement $12.72
Fee: Canadian Air Traveler's Security $6.74