Yes..we do..it just becomes a little tricky when filling out the forms as they are based on US tax laws and don't pertain to Canadians for example...
I have spoken to an agent at the administration of the fund 2 times and they told me that the most important thing is to have your trading records to back up your claim.
She told me to fill out the forms as best I could and anything concerning US tax forms..just ignore as US tax rules won't apply to foreign holders of the OTC stock OWCP.