As a native English speaker, to me it sounds more natural to say that Canada "borders" the USA. I tend to use "borders on" to describe when something is close to becoming someway...for example: "Donald Trump borders on insanity." so as to say (more simply), "Donald Trump is 'very close' to being insane."
"Borders" I would use in a literal sense, whereas "borders on" naturally takes on a more figurative sense (in my mind). I hope that helps!