Hey,
I've seen nobody answered your question, so here it comes
What you see regarding canonicals are notifications(and not errors). There is not system which could tell if the canonical link is pointing to the right one or not(which url is the one that you chose to target), what it can do is to point it out to you. Then you can export the list of URLs and check if you have applied them good or not.
Unfortunately this means a lot of manual work, but it can help a lot.
Just think about the fact that you might Point a Canonical link from Page A -> Page A and from Page B-> Page B (because you have a script that will point a canonical to itself). Eventually these two pages are the same, it will be quite confusing to a search engine, right?
Or Page A -> Page B, Page B-> Page C and so on... that's also something that you would like to avoid.
Another case Page A -> Page B, Page B -> Page A.
With exporting the data that SEOmoz gives you and analyzing it in Excel (or a similar program), you will have the chance to avoid these problems.
I hope it helped and cleared the picture a little-bit
Istvan