Issue with Workbench setting
Nobody can give you this answer, check your permissions against what is typical in the documentation page you listed. Have you checked this page selecting the given Role you want to examine:


  If non-administrative users encounter access denied (403) errors or
  fail to see notifications about moderation states, the "Check
  permissions" tab can help you determine what permissions are missing.
  Visit:
  
  Admin > Configuration > Workbench > Workbench Moderation > Check
  Permissions


The My Content page in Workbench Moderation is a View. You can customize its filters or conditions to meet your needs -- but be careful it's provided by the Workbench module so if you update the module you will likely loose your changes to the View unless you implement your changes using hook_views_default_alter.