Not most, but certainly "a fair number" I'm still waiting for my set precisely because I ordered from Canada - to take advantage of the exchange rate, and the dealer's additional discount for pre-orders. (I placed my order in May or June.) Cost me just under $65.00 US, shipped, which is hard to beat. Probably one reason why the S3 set was the number one DVD set at that site last week.
As for actual sales numbers - the studios don't release them. If a disc (or set) does fantastically well, it will turn up on Video Business magazine's sales chart - which gives comparative sales between major retailers, but no actual numbers. The first sales week for S3 ended on Saturday the 16th. The chart for that week won't go up on the VB website for another week or so.
The S1 set did not make the composite to 30 list that VB publishes, but it did make the top 20 or 25 of several individual retailers. The S2 set actually did make the composite list, showing surprising strength against some serious competition. Unlike huge recent theatrical movies, the B5 set didn't stay on the list for weeks, but just making it (and coming in higher than that week's X-Files release if memory serves) was pretty impressive. I'll post the results for S3 when they become available, I just have to find the link.
Regards,
Joe