There are some bugs that require permits to import and keep, such as all non-native roach species, but some do not require any permits at all. There is a list on the CFIA website.
To the best of my knowledge though there is no blanket law. Butterworms are not illegal to sell in Canada, but the importer requires a permit and they must be irradiated to prevent breeding prior to import. Other bugs don't require such things, and then there are some that require even more. Really depends on what.
If you don't know the easiest way to find out is to talk to someone at CFIA and/or your Ministry of Natural Resources.