Sorry for the delay in responding, but I now have quite a bit more info and I think your theory is a good one.
Since I posted that original query I have come across an Amsbary family Bible which provided me with more definite information about the Oshawa, Canada branch...John Amsbary Sr was born 9 Sept 1801 in New York State and died in 1848. Also in Oshawa at this time were Nelson Amsbary (1805-1860) who sold his land to John (?brother?) in order to move to Nebraska (I have some beautiful original legal documents regarding this sale from 1836 & 1838 which mention John, Nelson and his wife Mahalla), and Richard Amsbary who seems also to appear in Nebraska a few years later. As well, there is an Elijah Amsbary born in 1816 nearby.
I have noticed that alot of the Amsbary family trees on the ancestry site have William Amsbary of Chataqua NY (who marries julia denn) "dying" in 1789 and yet he also continues to have children !??. 1789 is precisely when William Amsbury UEL begins to show up in the documentation at the Canadian National Archives...so I think you are right...I think Loyalist William went to Canada for a few years and then returned to New York state ...probably by about 1800. Unfortunately, I can't prove this but I'd be interesting in hearing more about what you've uncovered.