That's a super common misconception. You are not being rejected by USA and it does not affect your future USA visa applications. You do not even need to declare it in future USA visa applications.
I alreay posted this one, just wanted to do it again cuz you are talking about...I just dont know how this friend did landing without going to us?!!
landing Canada from Champlain/Lacolle border at "Landing experience @ Champlain/Lacolle border" as bellow by davidPR:
"Re: Landing experience @ Champlain/Lacolle border
« Reply #5 on: November 11, 2013, 12:13:57 pm »
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I completed my landing this weekend. I think my experience would be helpful for you guys as well specially if you go with your own car from within Canada to Champlain/Lacolle Border.
First, after you pass the duty free before reaching the US gates, there is U-Turn marked as "Nexus and Immigration" on your left which you can use to go back to Canada without being rejected by US. Then the Canada gates will give you a yellow page and you need to park your car after the gate and go to office.
They take your passport, COPRs, CSQ, and bank statement and ask you to have a seat. Then call you again to sign documents and have a seat again. Then call you and say "Welcome to Canada" and send you to next counter for entering your belonging in your country of origin which you want to bring in future.
That is it"