The question of what the "My Feed" area of My Work
is supposed to show has come up before (see this question
). It will display a feed of any work items which you have access to work on. That feed includes comments or updates made by team members or others who also will be working on the items you are working on. The purpose is that it can include feed info from Projects and Tickets instead of just one or the other (in the case of feed modules that only exist in those respective applications).
I hope that helps to describe the purpose of the "My Feed" module. If you have any further questions about this please let me know.