The "My" is a legacy from Vista/XP. Theoretically, "My Music" will be "Music". A bit like Documents and Settings folder, you cannot access it, but you can through its real name of AppData.
It's for all those folks who upgrade so they can find their folders.
Now, If something goes missing,, that IS the time to worry!!
And, to be really honest, don't keep documents, music, pictures or videos on your system drive. Move them to another drive or partition away from your main system (C:) drive. :)