The My Cloud accesses the internet from time to time for various other services unrelated to remote access. That’s why one has to block outbound traffic in addition to inbound traffic if they want to isolate the My Cloud from the internet.
The NTP Service, if enabled, will access the internet to find a time server. One can disable the NTP Service within the My Cloud Dashboard > Settings > Language & Clock. One will have to set the device time manually if they disable NTP Service.
The Firmware Auto-Update service, if enabled, will attempt to contact WD to check if there is a newer firmware version. That setting can be disabled in the Dashboard > Settings > Firmware.
The Product Improvement Participation service, if enabled, will also contact WD from time to time to send information. One can disable Product Improvement Participation in the Help icon at top of Dashboard, then select Support.
The downside to blocking outbound and inbound broadband traffic to the My Cloud is certain other services or options other than Cloud Access/Remote Access may be affected. But it is one way to block broadband traffic to the My Cloud…