Basically you are riding 2 different trains... an Amtrak train, and a VIA rail train. But you have a guaranteed connection. And it's physically the same train. ha.
When I rode it Northbound a few years ago, everyone had to get off the train with all of their luggage and line up inside the station and go through a screening. They asked ALOT of questions including my employment, how much money I was bringing into the country, how much money I currently had access too with credit cards, all of my plans while in the country, when I was next expected to work inside the USA, etc. There were smaller rooms with open doors where people were getting luggage hand searched, and a line where people were having luggage screened, but after my questioning I was sent directly out the door into Canada. (I only had 1 carry on suitcase).
Basically when you get off the train, you are still legally in the USA... then you go inside the station screening room and when you get cleared you walk out the door into Canada... then you can walk 10 feet and walk back into the main station doors (just as someone would enter who lived in Canada) and wait for the boarding of the train. I hope that makes some sense.
It should be noted that Business Class passengers on this train get to detrain first, and therefore get a head start on the Customs... this is a major advantage in my book.