It is.
We don't have commerce in Canada - no Marketplace - and changing your tag requires payment of 800 MS points. We don't have a way of having a billing relationship with you (at least for Zune), so you don't have a way of changing your tag.
If you have access to an Xbox, though, I think you can do it there.
Jessica Zahn, Zune Social Program Manager ~ This posting is provided as-is with no warranties, and confers no rights.