Canon connection in this instance takes a wide range of forms. It can be anything from a simple nod to a canon character to much grander and more detailed intertwining of histories. (Like one's original character being the child of a popular canon character. Or, alternatively, pairing of canon characters.) Though making connections to canon characters isn't always bad, it should be done with caution and by speaking to the person running that game first. (They may know of a reason why it may not work.)
Canon connections, especially around parentage, often involve creating original characters that are the children of two specific canon characters. But the main problems with this are that it forces those characters to be together even if in this particular story/roleplay they aren't or weren't. Which is especially problematic when the story/roleplay has explicitly stated that those two characters never end up with each other. (Or if the characters in question have never met due to differences in the story.)
Using canon connections, if allowed, can very easily force those playing canon characters to take on details they may not want. Or ones that may not even make sense for them/their story or the site.
Like if an original character is set to be a canon's daughter. This suddenly means that canon is a parent even if they have no interest in sex, have never had sex or have some reason why they are incapable of having children. For example they could be:
Players who make characters connected to canons (especially powerful canons) may be a warning sign of Mary-Sue/Gary-Stu or self-insertion power fantasy. They may create characters who are vastly overpowered (and using the canon parentage to justify it).
Seeing a character connected to a canon (either the child of one or a love interest to one) can cause roleplay creators/operators to be more prone to denying a character. Many who run roleplays will often forbid people to connect their history to canons purely because it can signify a self-insert.
Avoiding connections to canons is rather simple. Don't make canon characters your parents or even anywhere near your character/story. In many cases it's entirely possible to write a backstory without even mentioning that canon character.
And like with any situation, if you're not sure about something… Ask.
Ask the roleplay creator if something would be acceptable. It doesn't take much time and it helps prevent issues.
The only exception when it comes to connecting characters to canons is when playing another canon. Since there are many canon characters who have relationships with other canons in the original work. So for example, Superman has been in a relationship (married) to Lois Lane.
But, again, in these cases it's best to ask to find out and be sure of what connections a character may or may not have. (Some roleplays alter the history of the series up. So if a roleplay is based on the Superman story “Red Son” where Superman lands in Russia instead of USA… He may never have met Lois Lane and developed feelings for her and/or she may hate and resent him.)