Is this a security issue

I have an 8TB MyCloud set up as a spanned volume, if I try to access the drive it asks for a password, quite right too.

How come when I open Windows Media Player it sees the cloud right away and will allow access it without requiring a password?

Once you connect to the drive Windows will remember the credentials for that login.  You can verify this by opening the command prompt and type:   net use

Windows Media player is seeing the DLNA server on the Cloud.   DLNA doesn’t use User IDs / passwords.