How long have you left the app sit after clicking on the MP3 file in the WD app? It may take sometime depending on the MP3 file size, the broadband upload speed of the My Cloud, and the download speed at the remote network, for the file to be sent across the internet to your remote network.
While a company may block certain ports and certain applications, the OP indicated they are using the android MyCloud app. One would think that if a company was blocking the app it would prevent the app from connecting in the first place since the traffic through the app is supposedly encrypted (SSL/HTTPS or some thing similar I think). Apparently the OP can connect just not actually stream music with the WD app.
Another question. Can you play, download and or upload other files (like video files for example) through the app to your android phone to/from the remote My Cloud?
Here is a workaround to the My Cloud app inability to play a media file within the Android app.
From within the My Cloud app for Android, select the media file with a long press. The interface will indicate 1 (or more) files selected. Then select the menu option (upper right). You should see the option called “Open with”. Select that option and you should be presented with a list of apps capable of playing the media file. Select one of the apps and it should begin playing the media file.
There are numerous apps one can install to their Android phone for playing media files if the usual base Android apps included with the phone are not what one is looking for.
I recall reading a post here where someone had same issue with remote access, and someone mentioned a setting in Samsung phone that needed to be set for things to operate remotely. Once again, consult the user manual for the PHONE as well as the My Cloud. Suggest checking at the Samsung phone user forum – likely a solution can be found there