I have a new Canyon Endurace and it has thru axle wheels. I was having trouble getting the wheel back on the other day and the cassette just kinda…fell off.
I put it back on and got the wheel back on just fine…but should that happen with thru axle wheels…?
Depends on the hub / freehub body design, but yes… some will simply slide off. It’s surprising if you don’t know it can happen. Most seem to have some level of snap or press fit into the hub, but they still can be removed by hand in most cases.
Lockring hasn’t really got anything to do with it if the whole freehub comes off. Yes, this can happen and is more prevalent with some hub designs than others.
You are right, based on the specific wording in the OP, that the lock ring is what retains the cassette on the freehub body.
Based on the description, I think the FHB came off with the cassette still properly installed and retained with the lock ring.
Yes, it fell off all together. I just slipped it back on, but wasn’t sure wtf happened. It is just different than my old bike with a quick release rear wheel.
Regardless of whether a thru-axle or QR some freehub bodies come off very easily.
I am used to DT hubs and their freehubs will come off with the cassette attached if you give a good pull.
Serviced a friend’s Zipps (QR) and the body near enough fell off in my hand as removed the wheel from the bike.
Some free hubs are just held on by friction so they can sometimes just slide off like you describe. Others are held onto the wheel by a bearing dust cap that screws onto the axle. Its inside the hole in the middle of the free hub. If that is your hub that may have come loose.
I had this and issue and thought I had the answer here that it is the way some hubs are designed. That may be true, but I noticed on my 105 thru axel hub, the center piece on the drive Side was loose and simply came out. There are threads on the inside of this, but it is reverse threaded. When I threaded it back in, the hub no longer just fell apart.
I have an Endurace with DT Swiss wheels which allow you to change the freehub body without tools. It simply pulls off. Be careful though as there is a little black spacer on the axle that sits behind the freehub which can slide off too if you’re not paying attention. If that hapens when you tighten the thru axle it stops the freehub working properly and causes you and your mates a fair bit of headscratching in Spain, on a cycling holiday, first day after you’ve put your bike back together, to work out… ask me how i know. 
Got to be careful with some models as well, for instance Bontrager wheels will come off and they have pawls with tiny (tiny!) springs that if lost will take the bike out of action until you replace them…
