Nothing is wrong you'll; be pleased to know.
I assume you are shooting in RAW. If you are, the camera records all the data from the sensor, which is colour data. You set the B&W Picture Style in camera, and that is what is showed on the screen on the back LCD, applied to the RAW file. If you opened the RAW file with the Canon software, it would apply the B&W Picture Style, to appear B&W. Lightroom is not able to recognise that the B&W Picture Style, (indeed any Picture Style) has/should be applied, and so shows all the colour data. The downside is that you will have to go through and apply B&W settings to all the images you want to be B&W. The upside is you have much more control by making the images B&W in camera.