The My Cloud User Manual (https://support.wdc.com/product.aspx?ID=904) explains how to use the iTunes media server on the My Cloud.
In simple terms the iTunes server on the My Cloud will stream audio (no video) to iTunes software/apps on the local network. The My Cloud User Manual explains it as follows:
You or anyone connected to the My Cloud device can use iTunes to play stored music files. iTunes creates a virtual music library on the device and treats it as an iTunes repository, making it possible to stream music files from the My Cloud device to Windows or Mac computers running iTunes.
iTunes scans any shares that have the Media Serving setting enabled, including the Public share by default.
There are a number of WD Knowledgebase articles on iTunes and the My Cloud: https://support.wdc.com/knowledgebase/index.aspx?s=itunes&c=538&lang=en
One can move their entire iTunes media library from their local computer to the My Cloud if they so desire.