First, expense is the main reason to be skeptical of the I.C., not the threat of losing it. But since I brought the latter up, I guess I might as well elaborate a little bit in my thinking in response to Tragedy.
In response to your question, losing Western Europe with an I.C. already there would be very much like losing Southern Europe. It might be easier for the Allies to get to Western Europe than Southern Europe, depending on what the board looks like.
I think it may be that part of the reason you don’t see the Allies invading Western Europe until very late is not because it’s impossible for them to take it, but because it’s too costly knowing they’re going to get quickly kicked back out again. (I don’t know; I guess I’ve never played against a really, really good German player and they might do a better job locking it down than I’ve seen players do.) Anyway, if an I.C. is already there, reinforcement is somewhat easier, even though they’d still be vulnerable to a turn of German counterattack. You’re mostly right on this, though; if you’ve been betting on naval superiority but your fleet has broken down and a large-scale invasion of Western Europe is taking place, you’re already in pretty bad shape.
As for Canada, well, I suppose that depends on whether the Americans are asleep at the wheel.