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You should be fine with the search engines as long as you do not assign an item to more than one location in your StoreFront.  We provide the choice so that web masters can tune their site however they like.

How does UltraCart decide on the canonical link for an item?

Let's take an example of the product AwesomeCoffee and look at all the assignments in a fictitious store.

https://store.fakecoffeeshop.com/AwesomeCoffee.html
https://store.fakecoffeeshop.com/shop/AwesomeCoffee.html
https://store.fakecoffeeshop.com/roast/organic-medium-roast-coffee/AwesomeCoffee.html
https://store.fakecoffeeshop.com/shop/organic-ground-coffee/AwesomeCoffee.html
https://store.fakecoffeeshop.com/shop/organic-whole-bean-coffee/AwesomeCoffee.html

UltraCart is always going to use the deepest and longest page assignment possible so that the search engine obtains the maximum semantic meaning from the link.  So for this example the canonical link would be:

https://store.fakecoffeeshop.com/roast/organic-medium-roast-coffee/AwesomeCoffee.html

It was chosen because it was two pages deep and the URL for that page was the longest of all the two page URLs.