No need to advise you insurance company as you are covered throughtout North America.
Some people who go for extended periods of time, ie. snowbirds, like to increase their liability. The reason for this is there are more lawsuits in the US than in Canada, often in more substantial amounts than in Canada as well.
I have never done this even when traveling to WDW for over 2 wks, and I used to be an insurance broker before I became a SAHM.