They do? Canadians sometimes move to the US when they're young and healthy, if they work in an industry where the pay is higher in the U.S. (for example, software engineers, computer science majors, web developers make considerably more money there). But they usually always return when they start a family or get older. Because as you said, job security and all the other protections you mentioned, don't exist there - it's really just a place to get in, save money, and get out.
Many retired Canadians snowbird in Florida in the winter but that's different - they'll own their property outright and have health insurance, etc.
As for why Americans don't migrate more, it's difficult to - they don't get any special privileges when applying to Canada, it's a strictly points-based system and all applicants in the world are put in the same pool. The UK, Australia, and New Zealand have similar immigration procedures.