It sounds like things are connected correctly, and the fact that your WDTV can find some of the files is encouraging. So, I am guessing your database kept by WDTV on the My Cloud drive is corrupted. You need to delete so it gets rebuilt next time you access the folder containing your videos with WDTV and start a video.
I just helped someone with this issue last week. The ins ructions are for a drive attached to the WDTV, but I just checked my My Cloud and the database file is there as well in the Public folder where my media file folders are stored. (the folder to delete is on any drive you have accessed with WDTV.)
Any questions let me know
