I've looked into this before. I e-mailed a member of an RCMP pipes and drums band about it. This is the salient portion of his reply:

Thousands of persons in Ontario and Canada wear highland dress complete with a skean dhu and to my knowledge, there is no law against such a practice. A couple of points to consider though, might be wearing it into a school where knives are no allowed and don't try to take one in your carry on bags through security at an airport.