The general rule is that industrialized food is not Paleo-friendly. Granted, all oils require a certain amount of processing, but the rapeseed that canola oil comes from requires going far beyond our normal limitations on processing.
To start with, the rapeseed is heated and the oil is chemically extracted using hexane, a harsh solvent derived from petroleum. Then it is de-gummed to remove the solids that settle during storage (and canola oil tends to spend a lot of time in storage). The de-gumming process involves heat and sometimes the addition of certain acids. Then it is bleached with clay, and separated. Once that is done, the oil smells so bad that it must be deodorized, which they accomplish by heating it to as high as 500 Farenheit.
The problem with heating canola oil to such a high temperature is that it is composed largely of polyunsaturated fats, which are notoriously unstable when exposed to heat and light. They are likely to oxidize when exposed, and consumption of oxidized fat tends to lead to oxidized cholesterol in our blood stream. That’s the dangerous stuff, because it’s the oxidized cholesterol that is likely to latch onto the inside of our arteries, leading to build-up and inflammation.
Mark Sisson has an excellent post on why we avoid canola oil.