Yeah, that looks like crap. I know that Scott, Trek, Specialized, or Giant wouldn't try to pass off work like that. Or if something like that snuck out, they'd warranty it it a minute.

And filing the dropout slot won't change anything because its the shape of the blade cutout hitting the skewer end and axle end nut that's causing the misalignment. The third image here shows a glimpse of the inside of the opposite blade, showing that they are essentially symmetrical at the dropout end.
Possible solutions: (1) Send the photos to Canyon and ask them what they think; (2) Return the bike; (3) try a wheel with a smaller skewer end and smaller endnuts; (4) buy an aftermarket fork from a reputable supplier. And if you send photos to Canyon, include an inside view of the how the axle fits on the inside of the fork blade.
Thinking about this, I'll surmise that Canyon designed this fork around a specific wheelset that just happened to have smaller endnuts and skewer ends. The face on that axle nut is huge.