You should not have a problem buying a tractor in Canada and getting it into the US, at least not in Northern Michigan. There can be large savings because the exchange rate is very favorable. There are some provisions, however. Essentially you buy the tractor and bring it through US Customs and declare that you have purchased it and that it is for personal use(that means not for business use) so that you won't pay any tax/duty on it. Then you take it home and get on with it. Of course you also want to avoid paying any Canadian tax (GST and Provincial tax). You're supposed to be able to get it back at the border (Canadian side). You get an application at the duty free shop and send it in. But it is better to avoid that by having the dealer meet you at the border on the US side so he can get his copy of the bill of sale stamped showing that he basically exported the machine. That way you never had to pay the tax in the first place. Obviously it is useful to be dealing with someone (dealer) who has done this before.
We have done this several times. We bought a Gator directly from the dealer in Canada, met him at the border, declared it to US Customs for personal use, the dealer got the invoice stamped, we went round the corner to a gas staiton and transferred the machine to my truck and I went home. A year later we did the same thing with a tractor. Our dealer does a fair amount of business in the states (Upper Michigan) buying and selling tractors and machinery. So it does work. Smaller items, like a snow blower for my tractor, I actually loaded at the dealer and brought over my self.
I have heard from friends in Detroit area who went looking in Windsor that the dealer (Deere) didn't seem to know what they were talking about. I imagine that in that urban setting they have enough business where exporting to Detroit is not much on their minds. Our Northern Ontario dealer(Kubota,Deere) is 2.5 hours away and he wants our business. So far his prices are well below dealer prices here in NW Michigan and seem closer to internet prices once you add the shipping. So no sales tax either.
Nevertheless it will pay to be working with a dealer who has been doing cross border sales. You may want to call your local US Customs station to confirm what I've told you. It doesn't have to be a big deal. We go back and forth across the border all the time and it has not been a significant problem for us. Our Canadian dealer has gone the extra mile for us more than once.
It may also be true that your local dealer won't do any warranty work, and I suppose that is a consideration. If the price difference is a matter of a few hundred bucks then you may as well stick close to home. If it's a few thousand I think it tends to get your attention.