Never got an e-visa in Thailand but I presume they do it like Vietnam. A confirmation is sent to your E-mail and you show that with your passport at the Immigration Desk and they stamp you in.
Pre-Covid, I transferred to a connecting flight on a different airline without leaving the Airport. I didn't need to collect my bags as it was the same booking.
I was worried about this the whole trip. But, yes, my bags were transferred to the new airline and they made it to the destination.
I am totally baffled about Traveling during the Pandemic so I am not giving advice. But I don't see why it shouldn't be the same.
You are connecting to a flight to Canada. You are not staying in Thailand, right?
Then as long as it is the same booking, it -should- be fine.
If you booked yourself seperately on two airlines, I don't think they would know where to transfer the luggage too.