Hello Zheng,
For the CAN module to be able to wake up the MCU, it needs to be in Pretended Network mode, for more information about the PNET mode please check the section 55.5.5 Receive process under Pretended Networking mode.
Also, if you are using any STOP mode I will not suggest using to connect an external debugger, if you are using the debugger is possible that the Low Power Mode is not called.
Best Regards,
Alexis Andalon