This is something I've wondered about. Obv Canada is different from US, where it is kinda almost sorta but not really illegal, so it may make more sense to claim it in Canada than in USA.
Not sure how you get paid back on your winnings, or what tax audits are like in Canada, but in the US if you withdraw the winnings back to your back account and you get audited in a given tax year with unclaimed money in your account history, there may be hell to pay.
I guess it boils down to how much money we're talking and also what other sources of income you have.
I have a very good paying job, so even if I did happen to suddenly become profitable at poker (
) I still have a legitimate income stream to justify how I'm paying my mortgage every month.