Yes there are certain problems with the Mac, specifically El Capitan which you indicate you are using, and the My Cloud. There is a huge thread on El Capitan and the issues its having with the My Cloud at the following link.
http://wdstagingsplit.staged-by-discourse.com/t/support-os-x-el-capitan/96744
Do a forum search for “el capitan” and you’ll find numerous other threads where El Capitan users are having various issues with the My Cloud. It is entirely possible the reason why Windows 10 doesn’t exhibit the issue is Windows 10 is probably using Samba (SMB) where the Mac is using AFP when transferring files to/from the My Cloud.
