First, if you have not already done so read through the My Cloud User Manual (http://www.wdc.com/wdproducts/library/?id=439&type=25) which explains how to configure the various options of the My Cloud, including the settings to prevent remote access to the My Cloud.
To prevent remote non local network access to the My Cloud one should access the Dashboard > Settings section and disable/turn off Remote Access and FTP. Next ensure there is no port forwarding to the My Cloud in one’s router/gateway. Once those steps are taken one would need either physical access to the My Cloud, physical access to the local network, or access through the local network’s WiFi.
There currently is no hardware encryption on the My Cloud. There apparently isn’t a way to encrypt a Share at this time, see link below for more information. One could however encrypt individual files if they wanted too.
https://community.wd.com/t/create-an-encrypted-folder/151624
Generally unless one can encrypt the entire hard drive, the contents will be accessible if one had physical access to the My Cloud unit. One can simply removed the hard drive from that enclosure and mounted it with a Linux OS to access the data.
If one wants to prevent physical access to the My Cloud one could hide the unit or encase it in some type of safe (with proper airflow and ports for power/networking). There are dedicated fire safes that have power and Ethernet capabilities.
