A US fiscal sponsor will only be able to offer the tax incentive to US taxpayers, so you'd have to seek out a similar thing in Canada if you want to appeal primarily to Canadian taxpayers. However, if you're seeking US foundation $$, you won't be able to get them (usually) unless you have a US fiscal sponsor. Sounds like you might want to have both?
Generally speaking, a donor will give money to your film because they care about the subject matter, because they care about you or because they care about documentary. Ideally all three. It's very rare that someone will give you money just for the tax incentive. That's a sweetener, for sure, but the real reason anyone will give you money is because you're passionate, dedicated and trying to tell a story for important reasons.