I've always had difficulty setting up Debugging eCart Transaction Failure issues using SagePay.
I've tried Sage Pay VSP Server Authorize, Sage Pay VSP Server Get Profile and Sage Pay VSP Server Process Transaction and the dynamic data has to be filled in from the settings on the confirm page as there is no data in the bindings. Having done that the bindings panel doesn't have "Local Checkout Response" but does have a new group as described above (Sage Pay VSP ...). When I drop any item from this group in the bindings nothing appears in the failure page when I replicate the Canadian "states" problem. I'm probably doing something wrong here.
Going back to the original problem. After doing various tests it does seem SagePay does not like Canadian "States". I did a SagePay "Show Post" which reports similarly to above and all looks good. I've contacted SagePay and they confirm that NO state will work outside US. IE the state field must be NULL outside US and I am deleting all non US states from the Visitors Registration, Profile, checkout and admin pages.