[dcl.fct.default] p8 states:

[Note 5: The keyword this cannot appear in a default argument of a member function; see [expr.prim.this].

class A {
  void f(A* p = this) { }           // error
};

This is incorrect, because the following program is well-formed and the keyword this appears in a default argument:

class A {
  void f(auto = [] {
    struct B { B() { this; } }; // keyword this appeared in a default argument
  }) { }
};

Syntactically, the entire initializer-clause is the default argument, and the this keyword obviously appears inside of it. See [dcl.fct.default] p1

Solution

We could say "cannot directly appear" but this is wishy washy, though correct according to some reader's imaginations.

Wording it in terms of "current class" and whatnot is quite difficult, so maybe we could just say:

Except within the block scope of a lambda-expression, the this keyword cannot ...

It's just a note, so we don't need to make it cover all the cases in all the detail; we just need to make it correct.