The interview version was released in both the USA and Canada, but under completely different catalogue numbers.
The interview portion takes place first, followed by the videos. For anyone that doesn't own the video and has never seen it, the interview portion can usually be found online if you look in the right places. Kate mainly talks about her inspirations behind the Sensual World, but she also touches on a lot of other things like the '79 tour and the work that goes into creating her videos, plus there's some nice behind the scenes footage on the set of This Woman's Work video. It's definitely worth watching.
Interestingly enough, this wasn't the only video release seen in Canada. Prior to the interview version release there was another Sensual World video that came out. I can't specifically remember if it was made in Canada or had been imported from the U.S. What I do remember is that there was no interview portion - only the three videos. The was no copper lettering on that version of the box - just plain white, and the size of the lettering on the front cover of the box was much, much smaller. Also, the front photo and the rest of the box had more of a plain black/white colour scheme. When the interview version was released right afterwards, I gave my other copy to a friend, so I can't tell you anymore about it because I simply don't remember much more. What I can tell you is that when the interview version was released, the other version quickly disappeared off the shelves without a trace.
The interview version of the video came with mini video catalogue sheet inserted, which listed some of the other video releases that were available at the time. I thought I'd include it for a laugh.