Amazon would be foolish to choose a location in Canada due to a their healthcare system and immigration situation. Healthcare isn't that big a deal to a company like Amazon and regardless of the current administration, Americans have never been more supportive of immigration.
Canadians were naive to think they were competitive for an Amazon, and they're wrong if they think Amazon would have chosen them if they weren't so concerned about blowback.
Sometimes, America being welcoming to big businesses has its advantages.
By virtue of moving into Toronto, all Canadian cities starting from Pickering/Oshawa all the way down to Hamilton/Waterloo would have seen a boost overtime to real-estate and hence towards economic activity - remember cities like Hamilton and Barrie are struggling to attract highly-educated / high-income residents and this would have given them better odds.
All in all, loss of potential income for the Canadian economy.