Rode the last year in all weather through last winter as well with no issue with the battery placing on the chainstay. Its IP67 rated so in theory will survive being submerged in 0.5m of water for 30 mins. Have you seen many problems? or I'm I just lucky?
I have assisted with two issues on Canyons myself and am aware of more from other Di2 enthusiasts. I have also seen issues caused by damp/wet/mucky exterior batteries on other brands so its not exclusive to these bikes. The placement selected by Canyon just puts it in the line of fire so to speak as the muck thrown up from the road which used to cover the chain stays now covers the battery. (Which I personally don't like)
Typically issues such as these are typically seen on older bikes, there is a theory that removing and replacing the battery over time wears or loosens the connection between the battery and mount which permits water to get down the side. I'm unable to confirm if this is the case, its just what some people believe.
All I can confirm is that at this time is that I'm starting to see an increase in issues related to externally mounted battery's on older bikes.
I'm not for a moment suggesting that you should expect issues, or have been lucky.. its just something I'm aware of so shared with the world. I am equally unable to state exactly what is causing the issue (other than the battery/mount)
Other than going internal battery the most advise I can offer is to say, it does not hurt to protect it and its cheaper than a battery.
BTW.. Some people suggest a bit of tape where the battery joins the mount sorts the issue, but I'm more paranoid than that.. lol