Do ultralights need to have EPA-compliant engines in the USA and Canada?
No such thing as EPA compliance on General Aviation engines or ultralight engines for that matter.  You buy a piston engine from Continental or Lycoming, it has no pollution controls of any kind. It's like it's 1960.  There just aren't enough of them to make any real impact, so they get a pass.

Pretty much anything goes for a Part 103 Ultralight in the US or what is called a "Basic Ultralight" in Canada.  Whatever suits you.