"Sitting Bull was able to judge just who threatened "genocide" and who didn't."
Talk about lacking "the historical perspective"!  In 1877--when a small band of Sioux entered Canada--white people north of the border were no kinder to the Indigenous than those south of it, judging by the 1874 Cypress Hills Massacre. Hundreds of others died of alcoholic poisoning.

 In the wake of Little Big Horn, Sitting Bull's people managed to elude the vengeful army, which tried to persuade him to surrender, so he and followers could be marched off to a reservation of the army's choosing. Another reason he decided to cross the border: maybe there was more food here. The Souix were hungry.

 Why then did they return to the U.S.?

One reason: there weren't any buffalo here, either. Food was scarce. Another: Canada's own FN peoples were angry at the intrusion; trouble broke out frequently. The NWMP couldn't guarantee their safety and pressured the Chief to leave. So, they returned to the states.