I downloaded the canonical.php and tried to edit and correct this issue directly in its code, but it is full of several functions and conditions, not an easy task and not a good solution for future updates of the source code.
Finally the best and easiest solution that I could find was to install the “Stallion WordPress SEO Plugin”:
https://stallion-theme.co.uk/stallion-wordpress-seo-plugin/
It mainly deals with canonical options, and after the installation you only have to go to its configuration and change the last option that says:
Paged Comments on Posts and Pages:
From:
Index All Paged Comments
To:
Index Main Post/Page Only : Block Paged Comments 2,3,4…
—–
Exactly dealing with the problem ??