The dealer is probably thinking about the Sales Tax aspect of the sale. Most states and provinces (the ones that charge sales tax) require that the vehicle be shipped out of state/province by a commercial carrier so the state/province doesn't charge them the sales tax. They need a paper trial for the tax man.
Ask them if this is the reason they want it shipped.
If so, then all you have to do is tell them the ABC Transport Company will be picking the car up for you. Create a invoice from the ABC Transport Company to you and give the dealer a copy of the invoice. Pick the car up and drive it home.
Toss any ABC transport info before you get to the border so Canada Customs dosen't get confused.