First you didn’t indicate which My Cloud model you purchased. Or which version (v4.x or v2.x) if the single bay My Cloud model.
It appears you may not fully understand what an NAS is. It is quite simply Network Attached Storage. It is in effect an external hard drive that attaches to the network rather than an individual computer. From there the NAS may have additional features like remote access, media server, etc. The single bay My Cloud devices are marketed as a low cost entry level NAS device with certain limited capabilities, Official Plex support is not one of those capabilities at this time. The single bay My Cloud devices have limited hardware that make trying to unofficially install and run Plex or other OS/modules/features found on more expensive, more hardware capable NAS boxes a challenge.
At this time the single bay My Cloud is not officially supported by Plex. For official Plex support one has to purchase one of the more expensive My Cloud models that include Plex support. See the following Plex document for officially supported Plex NAS drives: NAS Compatibility Guide
At this time the following WD My Cloud modes are supported by Plex. Note that in most if not all cases transcoding from one format to another may not be possible on these WD models due to hardware used.
My Cloud EX4
My Cloud Mirror Gen1
My Cloud EX2
My Cloud EX2100
My Cloud EX4100
My Cloud DL2100
My Cloud DL4100
As indicated above there are unofficial ways to try and add Plex to the My Cloud but it may depend on which version of the My Cloud and which model one is using.
A workaround to this issue is to install the Plex Server to a Windows (or other OS) computer and configure the Plex Server to use the My Cloud as a storage location (its what I do with my little used Plex server). Or another option is one could go an alternate route and use a low cost Android box and run Kodi which is similar to Plex in many respects. The Kodi server would also use the My Cloud as a storage location.
The single bay My Cloud devices include the Twonky Media Server which will allow any DLNA enabled client (like a smartTV, Roku, Windows Media Player, etc.) to access the My Cloud using DLNA to stream DLNA supported media. Note that what DLNA supported media that can be played by the client is dependent on what media the DLNA client can support. The single bay My Cloud also supports iTunes through the use of the included iTunes Server within the My Cloud.
As always it is recommended, if one hasn’t done so already, to read the My Cloud User Manual (http://www.wdc.com/wdproducts/library/?id=439&type=25) to understand all the options and features of the My Cloud and how to use/configure them.