I also agree with Leon that a cancelled UK visa should not have impact on my entry to Canada as a Permanent Residenceas long as there are no criminal or security issues.
It seems UK-BA is buying time. however, let's take it this way: you stated that UK-BA is investigating as they believe you've breached your obligations in association with your work permit and/or study permit. If they find you guilty in the worst case this might lead into an arrest, fine, and/or deportation. how do you think this is going to affect your criminal record (in the UK but visible in your passport!)? A refused/canceled on your UK visa also looks odd and might raise some questions when entering canada. The time frame for your UK visa presumably was during or before your PR was being processed. I'm not a lawyer but you should discuss with your solicitor the long-term impacts on your Canadian PR for all options. from my point of view this goes far beyond returning to the UK.
My personal view on this is that you should clearly state your intention to leave the UK but you also want to remain your good standing.
Have you double-checked whether there's ANY ground for UK-BA to have you investigated? are there maybe any holes that they might see from their perspective?
btw: with almost weekly announcement of illegal workers' raids the UK's currently going nuts when it comes to immigration and border control - to me it sounds like the officers get a performance bonus per arrest...