EI Sickness Benefit out of country で検索すると以下の情報が出てきます。
https://www.canada.ca/en/employment-social-development/programs/ei/ei-list/reports/sickness.html#h2.4-h3.15
Am I allowed to leave Canada while receiving EI sickness benefits?
You can only leave Canada and continue to receive EI sickness benefits if you are outside Canada to obtain medical treatment that is not offered or immediately available in a hospital, medical clinic, or equivalent health institution in Canada. If you decide on your own initiative to go to another country to rest or recuperate, you are not entitled to benefits.
Before you leave Canada, you must always let us know you are leaving the country by visiting the Service Canada Centre in your area or by calling 1-800-206-7218 (TTY: 1-800-529-3742) and pressing "0" to speak with a representative.