Originally Posted by coupster

Some threadless headsets require a slight gap between the top of the steerer tube on the fork and the top cap of the stem (integrated or not). Without that gap, the adjustment bolt will work itself loose resulting in a loose headset. I don't know anything about a Canyon bike, I've never seen one, let alone worked on one. A quick diagnostic fix would be to move a thin spacer from below the stem to above, adjust the headset by the steps outlined above and see if the adjustment holds after a couple of rides.
Or just be like the majority of bike riders and take it to your LBS