Cross-Canada, no. There are indeed cross-Canada passenger trains, but they route via Edmonton, not Calgary.
There is the Rocky Mountaineer tourist train that I mentioned to you a while back, that just runs west to Vancouver (the key word there being "tourist"—it's not something one would use for regular transportation). Its terminus is a couple of blocks away from this building.
But Edmonton is farther north (i.e. a bigger diversion from a straight line) and not (to the best of my limited knowledge, at least) significantly more important than Calgary. Why run a train that way?
Best guess is that it has to do with which companies own which lines of track. (Freight trains still use the Calgary route, but operated by a different company)
Also: Edmonton was historically larger and more important than Calgary, until the last 10-15 years. Also: the northern route is less hairy going through the mountains (hence cheaper to operate and maintain). Also: it gives easier access to the the ports of both Vancouver and Prince Rupert.