Do you HAVE to go back to dental school for the final 2 years in the USA just to get liscenced?
It all depends on which state you want to practice. But the trend is that you will most likely to be required to have a dental degree from either USA or Canada. If you are really lucky, you may have to repeat the entire 4 years (e.g. University of Florida DMD program).
Or can you simply do board exams, and get into a residency ?
You can get into residency without any state dental licensure requirements. But then OMFS programs will require you to have a US citizenship (for the MD portion of the program) as well as an American or Canadian dental degree/dental license. Most AEGD residencies, MPH and MS (research alone), PhD programs may not require you to acquire dental licenses nor American/Canadian dental degree (Carribean excepted). Some states will allow you to get licensed after you've completed an ADA-accredited specialty program (and/or general dentistry programs, and oral pathology), but then you can only practice in that state as no other state dental board will grant you reciprocity or recognize your state clinical board exam (considered state-only exam although you may have completed a regional board-style clinical exam).
Do you have to go back for 2 years in Canada as well?
Most definately, yes.