decision right. If they find out(most time they don't ask and you don't tell, then you will not have this issue) you are hoding US GC and Canadian PR or CA PR and I485 in process and they don't favor your explaination, in most cases, they will let you choose one, worst,they will cancel your I485 application( GC holder may have to follow certain procedure),because it's at least implied by law you can't keep two PR status at the same time.
All I am trying to say is that the risk is there when we are crossing the border, anything could happen. Some officers are under enforcing the law, and some going extra miles, it's your luck. Be prepared.
Xiaobaitu brought up "Qian Gui Ze", think about it.
http://www.faqs.org/faqs/canada/immigration/english-faq/section-20.html
http://www.cmcn.ab.ca/usgreencardapplication.php