Hanging onto a canon can massively wreck an rpg depending on what the author does with their made up. Remember the Self Insert I mentioned that plunked herself down into a Buffy rpg as Harmony's forgotten sister? That is a great example of how you do it wrong.
Let me give you an example off the top of my head. Say, for instance, the rpg is based on Tim Burton's movie "The Corpse Bride." Here are the canons:
The Corpse Bride - the engaged who has ceased to be
Victor Van Dort - the hero voiced by Johnny Depp
Victoria Everglott- the woman Victor is supposed to marry
Barkis Bittern - the man who killed the Corpse Bride and wants to marry Victoria
Say all these canons are being played and they are running about the rpg all happy and cheery. These characters naturally connect because they belong to this story. Now let's throw in some made ups that choose to hang their characters onto these canons:
Viveca Van Dort - Long lost sister to Victor
Rhianna Crow - A witch who has the ability to bring the Corpse Bride back to life.
Emily Everglott - Victoria's younger, cuter sister who just got back from London where she was studying magic.
Brandon Cole - A boy raised by the dead in the cemetery where the Corpse Bride lived. He secretly loves her.
Briana Bittern - Barkis' daughter from a different marriage and she wants to help Victor fight her dad because Barkis killed her mom.
Dietrich Von Hammer - He is a vampire hunter strolling through town who has fallen in love with Victoria.
Yvonna Van Dort - Another sister of Victor's who has a special bond with her brother.
Olivia Everglott - Extremely poor cousin to the Everglotts who lived with them and acts as a maid but is good friends with Victoria.
Maddox Cross - A vampire who loves the Corpse Bride and wants to take her away to be married into his clan.
Cecily Ravencry - An herbalist in the village who has a crush on Victor and makes excuses to bring him balms and salves.
Hannah Baxter - Secretly dating Barkis and doesn't know he's a murderer but is pregnant with his child.
I could go on forever but you get the idea. Too many of these made ups can really fuck up an rpg especially if they need the attention of their target canon right away. Most of these characters are Mary Sues (and I'm looking especially at you, Hannah. I'll be talking about babies in rpgs soon enough) and they need to be a direct part of this story right away. Imagine if Victor and Victoria are trying to have a scene together (which they should be able to, being canons and all) and everyone here steps in to bug them.
My conclusion isn't that hanging onto a canon is wrong but it can be annoying for a canon. I would suggest that if you choose to rpg in a world with canons, make a character that can be independant and will mesh with everyone in the game. However, if you have to latch on to a main character, be content to role play with others besides the target canon. They have enough to do without dealing with Mary Sue's yipping at their feet like hungry puppies.