the USCG helo was there as part of the US support to Canada for the Olympics, coordinated either directly between the USCG and RCMP or through NORTHCOM to Canada Command.
"Arent the canadian and the US airspace a common air defence area?"
yes, under NORAD which is a bi-national command and staffed by both countries in each of the NORAD HQ, Region and Sector commands. (I spent 15 years in NORAD both on active duty and as a civilian defense contractor, just left a few months ago)
There are two kinds of operations where the aircraft of both countries operate in the other. One will be under the NORAD ops for air sovereignty and defense, the other will be outside of the NORAD agreement and instead a direct operation for training or support coordinated directly between NORTHCOM and Canada Command.
So quite routine and normal for aircraft from both countries to fly in the other. On a day to day basis, our USAF tankers support the NORAD fighter alerts, CF-18, in the Canadian NORAD region. Fighters, AWACS and tankers can and are routinely handed back and forth as needed.
on note - when the F-15's were briefly grounded a year or two ago, it was CF-18's that stood up briefly in the Alaskan NORAD Region until we flowed sufficient F-22's to assume that alert posture.