I'm running into the same issue. When I imported the files into premiere I noticed the highlights were blown out. I checked again in the back screen of the camera and it looks completely different. If I look at the scopes in Premiere and I uncheck the clamp signal box I see that there's information over the 255 values. As a matter of fact, if you mess with the curves you can recover those highlights and make the image look similar to what you see in the back of the camera.
I'm guessing all of this has a lot to do with the color space. In pp1 this happens to me, in pp2, the video files look the same on the camera and the computer. PP1 color mode is sgamut3.cine whereas pp2's is rec 709 which is supposed to be a standard.
If this settings are supposed to give you a Canon look straight out of the camera with no need to grade, why does this need to be so complicated? Is this an error that I'm getting cause my premiere is not up to date? Is this the correct functioning? There's nothing in the pdf about this issue, so I'm hoping Andrew Reid will throw some light for the ones that are experiencing problems like these.
By the way, I used FCPX and got the same result, so it's not premiere. And interestingly enough, if I select NO PP (PP off) I also run into the issue, I'll have to check the xml file and see the colour space that the camera chooses by default.
Also, I tried to import both the mp4 and .xml files into premiere, cause I thought it might be helpful but premiere won't import the xml files, it throws an error.