Not so long ago I had seen a documentary about how American diabetics couldn't afford insulin and had to purchase their insulin pens in Canada. It's quite a shame for a first-world country with one of the highest per-capita income to have people give up healthcare because it's simply too expensive
Imagine a charter bus that takes a full load of people once per month from the US to Canada from regionally close cities (e.g. Chicago, Cleveland, Seattle, and New York) for insulin and other critical but expensive prescription drugs. The bus takes them to a pharmacy, everyone unloads and picks up their prescriptions, then loads back into the bus. Everything is called in, pre-arranged with the pharmacy for a streamlined operation.
It's a really stupid situation and possible solution that shouldn't be viable. Unfortunately, it probably could be done.
So I think doing so as a foreigner shouldn't be a problem provided you can speak French or English depending on the practitioner.
Presumably they just don't want the hassle of figuring out regulations or dealing with stuff confiscated at borders.
For drugs that are legal to import into the US surely there must be online pharmacies willing to deliver, though.