You don't have to be denied entry. You can voluntarily withdraw your application for admission. Not a black mark, IF there was an issue. People stuck in AP have asked for their passports back and continued to visit their spouses like they did prior to interview and issuance of the DS-5535 or 221G in spousal cases and others have travelled for work, attending conferences and business meetings. That said, the Administrative Processing process applies to the visa case being adjudicated, so in this case, the EB visa eligibility is the case in question.
Can CBP see if you're in AP? Likely, but that's USCIS's jurisdiction and CBP are typically primarily focused on customs violations and enforcing very fundamental laws that protect national safety and security. They aren't there to be the judge and jury on your case; that is USCIS and your consular officer's job. They are there to check that the paperwork you do have and the visa you're entering on is correct and valid, that you're not trafficking illegal substances and moving large sums of money, etc.
L2 isn't family based. It's a dependent spouse and/or unmarried children under 21 of an L1 Intra-company transferee visa. Canadians are also a bit different in that they turn up to security, head to preclearance and petition for their L visa. The L1 petitioner had to meet the requirements of the intracompany transfer; that person could have equally been tossed into AP as well, technically. The L2 dependents have to meet the requirements of being a legitimate dependent of the L1 petitioner. Yes, they could potentially be tossed into AP as well. Anyone can though, irrespective of age, gender, background...
If you're really curious, you could jump on Jim Hacking's weekly show and ask there.