Hello and thank you for the request.
First congratulations on the approval of the I-140!
Since you are traveling to Canada you will not have to be issued a new I-94. Therefore, the most likely scenario is that the CBP will just scan your passport and waive you through.
Technically, you cannot have an immigrant intent with an O-1 but since you have not filed the I-485 you have not expressed YOUR immigrant intent, only the company has expressed a desire to have you immigrate, the I-140 is their petition, not yours.
However if you want any absolute guarantee, then don't leave. There are never any guarantees of being allowed re-entry even if the I-140 had merely been filed and not approved. The only people guaranteed entry are US citizens. All other entries are at the discretion of the border patrol.
I would say you have minimal risk of refused entry based on the approval. But all you need is a inspector who woke up on the wrong side of the bed that day and is in an evil mood. They can choose to exercise negative discretion and you have no grounds to fight their finding of immigrant intent.
I know you would like an answer that tells you to go and have a blast but, my job is to be honest and tell you a truthful answer. Although minimal, there is that risk. If your priority date is current you can take a delayed trip in 3 months when you have your advance parole.
Your priority is to get resident status, celebrations can always be postponed and you can go to a top star restaurant and stay at a nice boutique hotel here in the states with no risk at all.
My goal is to provide you with excellent service – if you feel you have received anything less, please reply back as I am happy to address follow-up questions. Understand, it is my job to be honest and truthful about the law and sometimes the law does not give you the solution or options you want. Kindly give me a positive rating when you are done. If you feel I earned a BONUS, I am grateful. In the future, you may begin your questions with “FOR JUDITH” and I will be your personal immigration expert.