i don't really understand why some people is advising you that its ok to come back to Canada. first its risky in a way that they might reject you on the point of entry, but i don't think there will a be bearing on your PR application (not unless you lie). the only thing they will do is send you back home, and a record that u got refuse at the POE.
Second its true that employers can't cancel your work permit, but they can inform HRSDC that you are not working with them anymore, and I'm pretty sure officers have an access in the computer with the HRSDC. while its true that you can still stay in Canada if you have valid WP, its a different story when u leave the country. Your work permit and visa doesn't guarantee you re-entry, its still the officer's decision. and thats why its closed work permit, means you can only work on that specific company alone. Why are u coming back to Canada if u don't have a company to work for?? thats the use of the WP and visa and the reason you where there for right?
the advice of having your old company to make you a letter stating that you still work for them might work. its still risky though cause they might call the company and find out the truth. if u were able to convince them about this, you won't have a problem. thats the only reason the officers ask is because they just want to know if youre still employed with the company thats on your closed WP.
I've been on 2 vacations with my closed WP. and on both times officers ask me for employers certificate, thats why i always bring an updated COE whenever i leave the country. And if you notice whenever you apply for re-entry visa, COE is one of the requirements.
just my two cents..