What TV are you using? How is it connecting to the My Cloud? Using DLNA or some sort of File Manager?
Generally the folder structure for DLNA server/client material (which is what you appear to be seeing) is different than the folder structure used by file managers such as Windows File Explorer or Mac Finder. More on how to get the best use out of the DLNA server (Twonky) embedded within the single bay My Cloud units can be found at the following link:
https://community.wd.com/t/faq-twonky-dlna-media-server-setup-use/95373
