We are comparing APPLES and ORANGES here. They both serve a purpose - nutrition; but in their own way.
Comparing one with the other is fine. But what is important in doing so is understanding what aspect are you comparing and why are you comparing it.
I have been working in the UAE for quiet sometime now. I have also lived in Canada, USA and UK for a relatively short periods of time.
UAE - first up is the best country to live in as far as the Middle East is concerned. But, the life this country offers - comes with a set of rules.
Everybody knows this country offers high living standards IF you measure up to a certain income level. This feature, however, is inherent in any country that you pick on the globe. So if there are people who fall below certain income group - you will fall in a different bracket as far as living standards are concerned which may not be as attractive as others. UAE as such is not to be put on a spot for this because this is plain economics.
The country does have some preset standards when it comes to employment. Example: Local Emiratis/Arabs are always the stakeholders in any sphere and domain (99%). Then you will generally find Caucasians (Europeans/Americans/Australians) at the top of the food chain (Management or Executives) followed by the Middle east immigrants - Egyptians, Jordanians etc (Senior Managers/VPs). The South east Asians such as Indians, Srilankans, Pakistanis etc then follow up and make the working class. At the bottom of the pyramid (general cases) are Filipinos, Pashtos etc who make the labor segment. There is no rule book that specifies this. But this is the pyramid the whole society falls into if you look closely. The downside is that even before you start you know its only so far you could probably go as far as the economic ladder is put. But then - you also need to look into the geographical and socio-economic background that these segment of population come from. For example - an American or a European will most certainly NEVER complain about 'citizenship' because they do not intend to spend the rest of their lives in this part of the world. Money is probably the only stimulus as far as they are concerned. The exact same goes for Filipinos/Pashtos at the bottom of the pyramid because their expectations coming in to the country are only so much.
Its mostly the working class towards the middle of the pyramid, the ones in a constant need to progress and catch up economically with the upper segment of the triangle who fall into the zone of uncertainty. This leads to higher expectations under the circumstance where the rules, which may not always agree with you, have been clearly laid out in the first place to begin with.
Therefore the basic aspects to consider here are LIVING and LIFE.
Its pointless to talk about racism, favoritism, biasness, social insecurity etc because its prevalent in every country in the world. If I face ONE instance of racism living in a given country I could brand it as a racist society. But that only applies to me or in most cases to a given percentage of people who agree with my views. Truth can be different.
UAE is a country where LIVING aspects are more focused upon. And with LIVING - follows bills and due dates. Rents are high. Education is expensive. Books are expensive. Healthcare is expensive. But they all generally match up to the price when it comes to quality and service. Its a different point altogether that you may not have an option to settle for something within your wallet whereby you will be financially shelling out more than you may have been willing to. As far as employment is concerned - as I plotted the pyramid earlier - you have to make peace with it. That is why you choose to continue to live in the country. Period. On weekends - you could take a trip to a mall; then to another one; then another one until you've come full circle. Then you stop. And then you start again. At most, you would be touring abroad on a couple of occasions annually but apart from that there is only so much activities you can do while you live in this country.
You could buy a house in certain freehold areas but the prices are mostly exorbitant and you wont find something to fit your wallet even if you could afford something at a lower price range because that aspect is generally missing. Even if you could buy a house - you are on an 'Employment' Visa. For some reason either you or the employer decides to part ways and you will be the one left in a situation.
That is why people generally come in to the UAE with a certain level of expectation of achieving an economic goal and then sooner or later head home. That is all to it. Whether you would like to make peace with what the country takes in return from you and be happy is your choice.
Living in any western country is where LIFE comes into picture. And it is the most prevalent as far as Canada is concerned. It offers you Social Security. It offers you citizenship. And both come at an above average standard of living. You are not tied to your employer. You can choose to innovate your financial objectives and the means to achieving them (within the confines of the law). You could invest in property and you have varied options in price range. You could visit places within the country. Children have an opportunity for better extra curricular growth which are more than iPads and Xbox consoles. The country has its 'Education System' It does not lean upon other educational institutions and governing bodies to setup domestic curriculum (as in the UAE).
You will generally end up in a lower income slab in Canada (at least during initial period) than in the UAE. UAE wont apply taxes to your income but that in a way is one stimulus for the ever increasing expense to income ratio in the country. Canada will tax you. But it will also provide you with an 'opportunity' for social stability.
You have to understand these aspects which account for more than 'savings' and 'exchange rates' in the long run.