For the most part they (the ones commonly spoken about on this forum) are not legal to have without a permit. As far as I can tell, this is Rarely enforced. Im told this is for two primary reasons: they are unlikely to infest most places in Canada due to cold winters (Some potential issues with homes, sewers, agriculture, etc.); and enforcement has way more important things to deal with.
Where I live, they are regularily for sale on local swap websites (http://www.usedvictoria.com/classified-ad/Cockroaches_13519482), and I know they are traded at reptile, insect and spider clubs ( not always openly - as with many things, its likely you need to get to know people first). My local pet store has occassionally had hissers for sale as pets- not legal, but no one seems to care. Some bug suppliers, reptile breeders and spider breeders sell them unofficially (not openly on their websites).
just keep lookin
You do not need permits for:
German cockroach, Russian cockroach, Prussian cockroach, American cockroach
(nor would you want any of these anywhere near where you live)