Many do migrate from Canada to the US south (watch a movie called Fly Away Home). Others decide to just go a shorter distance, if they can find a suitable place.
They are a nuisance here as well, but protected. In some areas, like Toronto's High Park, they ruin areas of the park and turn it into a muddy poopy mess by eating the grass down to the root.
There have been some controlled culls, but public opinion gets involved, and there haven't been any for some time that I'm aware of.
They aren't particularly tasty either. Domestic geese or snow geese are better to eat.