The thing about the police station thing goes as follows :
the only way you can send your application in Quebec is by bringing it to your local police station So that your identity can be verified by the constable there.
You have to show up with 2 pieces of photo ID and the form from the CFO.
They then put your application with the rest of their mail to be sent out.
It is simply a deterring measure. Useless perhaps, but in their books, someone who's bats**t crazy and wants guns will stay away knowing he has to be identified by a cop first.