Canadian Mounties are not responsible for border patrol nor do they inspect vehicles leaving the country.
Mr. Burns (and later numerous other businesses in Springfield) announce they are ending their employees' prescription-drug programs. In reality, there is no such program outside of having health insurance, and no one including Mr. Burns says that they're going to end the insurance altogether. Either that's what happened and the episode doesn't say so, or Mr. Burns means that he chose a much cheaper and worse insurance program for the SNPP employees (one that would make prescriptions some mix of so limited/so expensive that it would be a de facto cancellation of them entirely), but it also would not involve anything like what he does here.
Manitoba Highway 9, which connects Winnipeg and Gimli, does not intersect the Trans-Canada Highway.