As Recode observes, you can chalk it up to a combination of familiarity and political considerations. There are about a dozen University of Alberta grads already working at DeepMind, and Sutton was the firm's very first advisor. It only makes sense to set up shop where you already have close allies, especially when the school is at the forefront of AI research.
And simply speaking, the Canadian government is friendlier to AI research than the current American leadership. The country has been courting AI scientists with $125 million in funding (on top of existing provincial efforts) at the same time as the Trump administration is proposing major cuts to scientific research. If you were looking for financial support, where would you go? And it wouldn't be surprising if Google's opposition to the US travel ban plays a role. The company believes that the ban limits access to talent, and it won't face that restriction in Canada.
We'd add that the country is no stranger to big companies establishing AI-related research labs. Uber just recently opened a self-driving car lab in Toronto, while Apple and BlackBerry both have autonomous driving facilities in Ottawa. This is really just the latest in a string of major AI coups for Canada -- while there's still plenty of active American research, it's almost surprising when a tech giant doesn't focus its attention north of the border.