If you are going to Alberta you should get the provincial medical coverage immediately. At least that is how it was when I moved there over two years back. If you move to Alberta from any other province then there is wait time of 3 months. Keep in mind there is lot of stuff that provincial health plan does not cover, usually that supplemental coverage is provided through employment health coverage.
When I first landed I did not fill up goods to follow form, when I finally moved I was still able import my few household stuff and car duty free.
As far as whether its worth it or not, its difficult to answer. More or less depends upon your situation and whats your emphasis on. Yes you are right this is no easy decision to make. I moved after 11 years in US. I know it first hand, with family it becomes even tougher choice to make. Believe me I feel for you, but unfortunately nobody can answer that question for you. One thing I would suggest, do not compare US and Canada as if its one to one comparison. US and Canada are two different countries, the more you compare more miserable you will feel. Also if you plan to leave US, don't be in a hurry to get back to US as soon as possible, enjoy the stay here with its ups and downs. I will admit I made the same mistake, you will too but try to minimize it. I even had a full plan to return to US once my priority date was close to getting current, right now I am not so sure that I even want to live in US anymore.
US is far more attractive on its surface than Canada, Canada takes time to warm up to you. But today if someone asks me which country to migrate to .....without hesitation I will say pick Canada over US anytime. Its not a position that I had when I moved to Canada mind you, it takes time to get used to Canada.
Yes economy is smaller, yes competition is much more ,yes salaries are low, yes taxes are higher, yes insurance rates are high, yes groceries cost more, yes its far more colder up here.......but I live with much more peace of mind.
I will not sugar coat it, its been a tidy struggle. When I moved to Canada I was still working remotely for the US company. Worked remotely for close to a year, unfortunately they went bankrupt and I was laid off. Got a contract job, then found another job, then got laid off, then moved to West Coast , found another job, closely missed another layoff.....so life goes, but I will say I live with much more peace of mind.