You are correct. Dubia roaches are not legal in Canada. I have ordered from two places online:
supercricket.ca - they have superworms you can order in sizes as well as phoenix worms (plus the usual crickets, etc). Good service/products and fast to respond if you email with questions/concerns. I don't see silkworms or hornworms on their site, so assume they don't carry those, but never asked.
I have also ordered from Recorp.ca. Products were good, but I never got a quick response from them and payment needs to be done via phone, fax or email. You can't pay online. They carry hornworms and silkworms as well as silkworm and hornworm eggs. Keep in mind that hornworms and silkworms need a specialized diet so you will have to order food for them as well if you want them to last any amount of time, and they grow FAST.
Capital Dragons also carries most of the feeders, but I have never dealt with them so cannot comment on the quality of the products or service.
Not sure where you're located, and if you could pick up from any of these suppliers. Shipping is expensive!