How many (m)W should 120 ohm CAN bus terminators have?
You seem to have your answer from the comments, so this is mainly for posterity purposes.

Your calculations are correct, at a max of 5V differential voltage you would have ~42mA which would dissipate ~210mW.  You are safe using a 0.25W resistor, especially since you know exactly what is going to be connected to the bus.

I would like to add that I work with CAN on a regular basis, some of which can be in rather demanding environments, and our typical termination is shown below.  We use standard 0805 resistors with a rating of 0.125W and I have yet to see a burnt resistor.







simulate this circuit &ndash; Schematic created using CircuitLab