Well, I can see you must've done some treaty analysis already, but I can't help out unless I start from zero. It will repeat the conclusions your school accountants already reached, but I can't always orient myself if I jump in halfway. So let's start with the US-Canada Income Tax Convention, as amended.
Article XV - Dependent Personal Services. This article covers wages (so your $4k wages but not $5k educational funds) and makes them taxable to the resident's state unless performed in the other state. So we'll put a pin in residency for now, because you have a foot in each camp. It goes on to say that wages to a resident of one state for services performed in the other state are taxable in the first state (the state of residence and not the state where services are performed) only if less than $10k or if presence is less than 183 days and the wages were borne by a resident or PE of the second state. So rather than diving in 183 days and figuring out if they count full-time student days, we can hang our hats on $10k.
If you are a resident of Canada but paid for services in the US, your $4k will generally be taxable back to Canada. Now we need to circle back and confirm your residency status.
Article IV - Residence. The treaty (as amended by Protocol 3) points to domestic law to determine tax residence. The treaty explicitly references the substantial presence test from IRC § 7701(b)(3). That test counts your presence in the US for the last three years but (b)(3)(D)(i) excludes any day you were an exempt individual. An exempt individual is defined at (b)(5) to include a student, which at (b)(5)(D) is defined as an individual present in the US on F, M, J, or Q visas. I'll leave to you to figure out if you are on such a visa. The way to report your exemption from substantial presence to the IRS is Form 8843, part III, filed as an attachment to your return.
Of course, your school already figured you were non-resident, which is why you got a 1042-S.
Article XX - Students. Scholarships and grants paid to a student who is studying in one state but is resident (or was immediately prior to the visit) in the other state are not taxed in the school's state, but only if the payments were made from outside the school's states. Your payments come from your US school, so Article XX does not apply.
Once again, this is why your school issued you a 1042-S, so that all works out.
Tentative Federal Conclusion. It sounds like the wages may be exempt under Article XV and the the scholarship will not be exempt under Article XX. Fill out Form 8833 for the tax treaty claim (as previously suggested) and Form 8843 to claim student status. Include your 1042-S with the 1040-NR. Review the 1040-NR Instructions again if you have further questions.
Depending on the taxes already withheld on your W-2 and 1042-S, and using your $3,900 personal exemption, you may not owe any additional taxes and may even be due a small refund. If you can legitimately make any itemized deductions on the NR Schedule A, then it may shave a bit off your taxes.
SALT Return. I don't know what state you're in and SALT tends to be a mess. Fill out the 1040-NR and do all the necessary stuff, then do the state and follow the instructions. The state return instructions will point to the federal return for a number of items. If you use a tax program or a paid preparer, you can just review the generated state return.