You're correct that for the most part bringing Canadian hay into the United States is a relatively easy process, as the U.S. has very few quarantined pest concerns. In many cases hay can simply cross the border without any phytosanitary certification.
You described the situation where Canadian hay has gone down to the United States and, for whatever reason--and there could be lots of reasons--is returned to Canada. The problem arises that it's not an identified product. There's no label; it's a species. The American product and the Canadian product are indistinguishable. We have the same phytosanitary requirements for hay coming back in because we can't separate it. That's why we would ask for a phytosanitary certificate.
Depending on the region it comes back from--and it's difficult for me to be very precise with my answer without knowing the region--I can identify what the pest of concern is and be more definitive as to why the concern exists.