I've figured it out on how to connect with XCP via CANbus!
All that was is that I needed to "Monitor & Tune" instead of using "Build" option when connecting to my system. There is however a bug that requires me to use USART3 when I clearly don't need it. It's a simple fix for just enabling it in the CubeMX and not using it :p
Now, I'm facing another problem...
My initial goal was to just use CAN bus in the future when deploying my embedded board inside the system. How SImulink STM32 library was configured is that...
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I NEED TO FLASH THE "XCP" FIRMWARE TO MY BOARD EVERY TIME THAT I WANT TO CONNECT TO XCP VIA CAN BUS
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I've tried to use "Monitor & Tune" for the first time and then proceed with just "Connect" afterwords (while not chaning the model) and the message that keeps poping up is:
- 'XCP on CAN' transport layer is not supported.
Here is the image of the proof:

Is there a way to mitigate such behaviour so that I can flash my MCU once and monitor it without the STLink connected every time I want to do such a thing? If not, can I modify a flashing command of the Simulink model (or STM32 library) so the MCU is also flashed via CAN bus previously (I've read the STM32 Application Note, it's listed as a possible firmware writing method in the bootloader)?