Did you download and install the My Media software to a computer on your local network?
https://www.amazon.com/bizmodeller-My-Media/dp/B06XPP135L
To get started, visit https://www.mymediaalexa.com and click the Download link to install the My Media for Alexa app on the computer that contains your home media library or iTunes library.
Once installed, you will be asked to enter your Amazon credentials to link My Media with Amazon. Once you have done this, simply select the folders on your computer that contain your music collection, or alternatively select your whole iTunes library.
See the following discussion where the My Media skill/software is discussed as it may have additional information on using the My Media skill that may be relevent.
http://community.wd.com/t/stream-music-from-my-cloud-to-amazon-alexa/200430
