I think there is information in the data. All I'm suggesting is, you have to treat it, as you do with any economic time series, with a little bit of caution.
The second point is that these data of course include taxes. So you may see differences between countries as a result of tax differences, rather than as a result of a price that's being received by the supplier of the product.
I think the answer to your specific questions—why were natural gas prices historically lower in Canada, and why have they kind of converged?—is that there were supply constraints in our capacity to ship natural gas into the markets in the United States.
The other point here is—and this goes back to the statistical question, and I think this is very important—that they're measured in different places. One would be Henry Hub in the southern United States. The other would be the Alberta Hub in Edmonton. It would be quite natural for there to be a difference between those, reflecting transportation costs.