I used to live and work in Canada (as an American) and kept my UA Mileage Plus Visa card (issued in the USA). My address was changed to my local address in Canada, but if you do this, beware of the following:

1/all your local CAD$ charges will be converted back to USD, with fees added.

2/your paper statements get mailed up to Canada, and often arrive AFTER the due date (late fee used to be USD $29 I think)... Customer Service only waived the late fee once for me, but after that I needed to go online to check the balance regularly to pay on time.

3/any online purchases with that card get verified by using your zip code on file... with some of my US credit cards, the zip code appeared as 00000 or 99999, and that made online purchasing really tricky sometimes.

If your situation is similar to mine (US citizen working/living in Canada), you can do what I did, but hopefully my lessons above will help you out a bit.