Im only a anime watcher, and I think Canute felt lonely since he had only Ragnar as a friend and confidant. Thorfinn was the first person he talked to beside Ragnar, he told Askeladd to not kill Thofinn during their duel and lastly spared his life when he tried to kill him. Since he was the same age as him, i guess he felt compassion toward him.
But Canute was too obsessed with his revenge to make any friends.
Sailing to Vinland