What everyone else here said. Also; "Indigenous People's Day" would be even better than "Leif Erickson Day".
But really; Columbus was awful....a mediocre explorer who landed in the Caribbean and a horrifying genocidal maniac who was so bad that even the Spanish Crown (of all people) though he was too extreme (especially since said natives were nothing but kind, friendly and accommodating when Chris and Co. first arrived).
Columbus is waaaaaaaaaay over-rated! Why he was picked as (big historical figure to honor) I have no idea!
As for Thanksgiving; It doesn't necessarily have to be about celebrating Pilgrims (or whatever the Canadian version would be about). In fact; The Pilgrim thing was a bit tacked-on. There were a number of different "First Thanksgivings" and the holiday was originally proposed to give thanks for stuff like the end of the Civil War or whatever.
Thanksgiving is a modern-day harvest festival/Pot-latch/etc. It doesn't have to be about Pilgrims if you don't want it to be.
Even the Pilgrim story (though heavily mythic and sanitized) has a genuinely nice message of survival, friendship and multicultural exchange. Sometimes myth has a certain "reality" that's as valid as anything....
* For example; Mother Teresa turned out to be a bit of a fraud but the MYTH of "Mother Teresa" is what inspires people. The myth of the humble nun who took in the sick, starving and dying ans selflessly cared for them....that inspires people.
* Same with Mohandas Gandhi; People focus on just the good parts and not the "Guy who was crappy towards his wife, slept in the same bed with young female followers and loathed black people".
....In a nutshell; The myth is more valid, meaningful and "real" than reality. The episode of The Simpsons that was about Jebediah Springfield would explain it best....
....Likewise; Stuff like The Bible, Bhagavad Gita, or other holy books doesn't have to be historical to be seen as "true". What counts is the message. Scriptures are mystical spiritual myths and parables meant to convey some higher truths, moral/ethical lessons or metaphysical concepts.