Where to report info from 1042-S form

Why are they sending you a 1042-S? There should be no withholding, Canadians are exempt under the tax treaty. As long you made the declaration to them they shouldn't withhold anything. You've still got the wrong form though, should be a 1099, but it doesn't matter really as long as they've paid you the interest.

Also depends on what kind of bonds they are, certain bonds (municipal for example) are only tax-free if your tax home is in the US (or in the State where that municipality is).

Yes, I'm pretty sure it does go there, they've just made it confusing by sending you the wrong form. I'd include an explanation with the 1042-S as to why they sent it to you. Having spoken to the IRS about 1042-S with zero withholding on it in the past, it's purely informational, I don't think there's any legal requirement for the withholding agent to even file it with the IRS if there is no tax liability. Just their computer system spits them out probably.