Setting up new Canon MX922 printer to print remotely from iPhone 6

Just follow its own instructions to connect it to the same Wifi network as the iPhone.

There is no setup required on the iPhone.

The printer should appear directly in the print dialog in any app that can print.

No. As long as its listed as AirPrint compatible in the support document you came from (which it is), both iPad and iPhone are be able to print to it.

Canon will have labeled it as AirPrint compatible, but may not necessarily specify devices.