FWIW, there's virtually no way to completely "seal" a piece of wood (short of coating it with epoxy perhaps). Even finished wood will still expand and contract slowly with changes in moisture content. Finish slows those changes down a little, but doesn't eliminate them. It's not really a problem though, unless you didn't account for about 2% expansion/contraction across the width of solid wood boards, or if you attached wide solid wood boards or panels (more than 12" wide) to plywood or to a board with the grain running perpendicularly (because the wide board will expand/contract while the plywood or perpendicular board doesn't really move much). Buckling should only be a problem in those instances, and only with solid wood, not plywood, which is what I imagine most folks are using. Plywood is made of laminates with alternating grain direction, so it doesn't change dimension significantly in any direction.
In short, I don't think finishing makes a big difference as far as integrity, but it will keep the canopy much cleaner inside, and the canopy will likely look much newer inside when you sell it.
