Basically what you have done is put all of your media on the external hard drive right?
If that is the case (and if I'm understanding correctly) then this is what you have done:
You put your media on an external hard drive and have no
media on your computer.
You have told your library to look for media in the external hard drive (thus why you see it in libraries)
Therefore, the reason you see no media in username\my<folder> is because there isn't any there, it's all on your external hard drive.
The reason you see your media in username\<folder> is because that is the libraries feature that has been directed to your external hard drive.
Now, to answer your question about the my<folder> area. You do not have to add media there as long as you understand that the only
time you can access your media is when you have your external hard drive connected. If you want to access any media when your external HD is not connected then you would have to transfer it to username\my<folder>
I hope that was clear enough. If it wasn't clear, or you have any questions, feel free to ask