When I write a story set in the US, do I have to change my usual Canadian spelling?

It depends. Are you going to sell it in America? Like self-publish it? then it might be necessary to change it. Definitely Americanize the slang if your typical american won't be familiar with it. Usually, with traditional publishing, the publisher will change the words over to American English (spelling and slang) as they see fit, but that doesn't always happen in every book that's published by a british author. I think it's up to you. If you plan on selling it in america or having an over-whelelming American readership then I'd just make sure that it's not something taht wouls impede reading, but I also dont' think it's necessary. Believe it or not, we american's aren't that dumb.

Some traditionally published books will have the words (not including slang) americanized while others don't. Basically, I think it's your call.

Did the Harry Potter series change spelling? I think so for the US editions. I think "American" spelling will add authenticity to your story, while the British/Canadian spelling will hurt credibility, but that's just me.

You are writing a Canadian story so you don't need to change your spelling. Spelling depends on where you are, not what the story is about. You might need to change the spelling if you ever wanted to get it published in the United States, but not necessarily.

When the book is published, it's up to the publisher's editor to make changes of that kind if it's thought to be necessary.

If you are writing from the POV of an average American, spell accordingly, unless you are presenting someone who puts on airs or is pretending to be Madonna.

Also...your phrase "I've been suggested to change it but..." sounds completely ridiculous to my American ears, it should read: "It has been suggested to me to change it, but..."

No you don't need to change your spelling

Is the main character Canadian or American? Let that be your guide.

No, you don't have to. I don't.