Can I just go to a country like Canada to apply for a new US Visa?

I am a Russian citizen, staying in the US on an F1 visa. Unfortunately, the F1 expires after a year for Russian nationals, so it seems that I must fly back to Russia annually to apply for a visa every year. I was wondering if I could somehow avoid the flight back to Russia.

I know that if I had permanent residency in a third country, say Canada, I could just go to Canada and apply for a new F1 there.

However, currently my permanent residence is in Russia (according to my Russian internal passport and so on), even though I spend most of my time living in the States.

The website of the US consulate in Toronto says:

It is generally advisable for short-term visitors to Canada to apply in their home country for a U.S. visa

From this I conclude that I am not forbidden to apply for a visa in Toronto. They do not advise this, but okay, I'm not obligated to follow their advice. They also say:

It is usually more difficult for short-term visitors to Canada to demonstrate that they qualify for a visa and are often refused.

Again, okay, fair enough. But what does "more difficult" mean? I have gotten the same visa, and others, several times before without any issue. I can provide documentation demonstrating my application's legitimacy in considerable excess of what appears to be necessary. Would the consulate in Canada simply refuse a perfectly good application, just because I'm a foreign national, and leave me stranded in Canada with no choice but to buy a hasty ticket back to Russia (so I can try applying there)?

I've used Canada here just for the sake of a concrete example, but for the purposes of this question it can be any nearby country, such as Mexico. The point is that it is much easier for me to go to a nearby/neighboring country (Canada, Mexico, etc), than it is to go to my home country (Russia).