Turns out we do - in May (http://www.canadianheritage.gc.ca/progs/multi/asian-asiatique/index_e.cfm"). Shows what I know. I don't see a First Nations month though.

I actually did a quick lookup on the history of Black History Mnth, and it was in fact borrowed from the US. Which is why it falls in February, which has some historical significance in the States but not so much here.