Do I need a canonical tag on the 404 error page?
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Per definition, a 404 is displayed for different url (any not existing url ...).
As I try to clean my website following SEOmoz pro advices, SEOmoz notify me of duplicate content on urls leading to a 404

This is I guess not that important, but just curious: should we add a cononical tag to the template returning the 404, with a canonical url such as www.mysite.com/404
?
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no need for that ^^
I assume you no longer link to those 404 pages from your website? So on the next crawl SEOmoz wont pick up those 404s
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Stephen is right; there's no need for that. It's a little odd it's telling you that, I would check that these URLs that are 404ing are returning a status code of 404.
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You will see that in GWT. Go to GWT > Crawler Access > Remove URL. It'll de-index that 404.