The fundamentals of the canola market can be different than soybeans, although they are substitutes to a certain extent. Differences in fundamentals can sometimes lead to unanticipated results if cross-hedging outside the commodity you're selling, in this case, canola. All of a sudden, a big difference in price moves could occur. Some quick research could be done to calculate the correlation coefficients, but we'd expect the Winnipeg canola futures to work better as a hedge than Chicago soybeans. You'll have more transactions and brokerage fees using the Winnipeg contract vs. Chicago soybeans, where one contract could be used to cover a similar dollar amount to a little over 7 canola contracts.
Winnipeg canola is in Canadian dollars.
Although the Canadian dollar doesn't fluctuate wildly vs. the U.S. dollar value, it does fluctuate. This can affect a hedge, and will mostly be an unanticipated effect. Canola futures do closely follow the U.S. soybean market, since Canadian crushers look to U.S. bean oil and meal futures to determine crush margins, but canola does have its own fundamentals. Volume was once a big problem with Winnipeg, but that has been steadily increasing making it less of a problem. It trades all Canadian, U.S., Australian and European canola, so volume is becoming less of a problem.