Why would you expect customs agents to know what is prohibited in your area?
It is only their job to control things coming across the border, and therefore the Federal laws that apply to them. They have only a bare working knowledge of CITES at best because that is a CWS responsibility, not theirs. In the same vein, CWS (part of EC) can't tell you what is prohibitied in your province, county, or municipality. How would they know? How would they keep track of all the changes? They only look after their own laws, and they've got more than enough to do with just that.
It is your responsibility to know the laws involved in what you are doing. Spend some time looking things up and reading them, rather than expecting someone to tell you everything.
Now as for the situation at hand, Leanne- california kings are not listed on CITES. CWS doesn't care about them. Customs will charge you GST, and possibly whatever provincial sales tax you have there.
Where you have legal issues is on the US side. As of the late 90's, ALL wildlife leaving the US is supposed to be inspected by USFWS. Officially, this means that you must get a USFWS import/export license (US$50/year), and schedule an inspection (US$55/inspection). Some USFWS offices have been following a policy of allowing small numbers of specimens through without charging the inspection fee and/or requiring the i/e license. They still want to do the inspection, though. The western New York office follows this practice (or at least they did 2 years ago) but each office can vary in this regard. You should call and find out what is involved with the region's USFWS office.
Theoretically, if you leave the US without an inspection, and therefore a stamped USFWS Form 3-177, you broken US law. By extension, under the auspices of WAPPRIITA, you've broken Canadian law. Now are you likely to suffer serious consequences over a pair of cal kings? Probably not, but that doesn't change the legal situation.
This has been discussed many times on these (and other) forums, as you've likely found if you searched at all. Many people have chosen to just do what they want, or simply didn't know any better, but that doesn't make them correct.
On another note, why would you pay US dollars on a pair of cal kings, shipping, inspection fees, etc., when there are lots of them here in Canada already?