I have 5 scenes in my hololens project and everytime I change the scene, the position of the scene changes.
Scenes (in the sense of Unity scenes) have no concept of position. They're the top level container that everything else has a position in. Also Unity scenes are so broken beyond repair in so many ways that I'd refrain from switching the scenes as an in-app navigational mechanism altogether, but that's just me. Also, last time I checked, HoloToolkit was full of singletons which doesn't play too well with Unity's instantiation/serialization/scene management paradigms.
According to that I want to fix my canvas of the scene and I tried to use WorldAnchors but it isn't possible to attach a anchor to a canvas.
Is there another solution to prevent the scenes from changing their position after each scene load?
The only thing anchors do, when applied to a game object, is take the sole responsibility of controlling that object's Transform component, namely its position and rotation. It can be that depending on the setup of your canvas there are other mechanisms controlling the same transform component, especially the canvas's renderMode. Make sure nothing interferes in that fashion, but also, just as @mark_grossnickle suggested, make the anchor control an empty container and move your canvas lower down the hierarchy. What's not helpful as well, is that canvas's transform is actually of the RectTransform subclass, not sure how anchors deal with that. You can also read more on the anchors in hierarchies.
Hope this helps.