The issue is still there but there are work arounds in place.
I managed to figure out one solution after which the side bar icon kind of worked. But sometimes it wouldn't.
The solution is "Always Trust" (for all options) the *.wd2go.com certificate in the keychain (i.e. if it is visible there at all).
There is another method which kind of stays stable over long periods of sleep / wake cycles of the Mac.
In Finder > Preferences > General - Check the Connected Servers under Show these items on the desktop.
Mount the drive manually - Command+K and type the URL afp://wdmycloud.com (assuming this is the hostname of the drive - you can change it to the IP address of the drive)
You will get a password prompt, and after entering the password you will get a dialog box with a list of file systems. Check the ones that you want to mount and click ok.
The drives will be mounted and corresponding icons will appear on the desktop.
I tried it without the option of displaying drives / connected servers (file systems) on the desktop - but the connection to the drive was flaky and used to drop whenever I closed the finder. Having the icons of the filesystems of the WD drive makes the connection stable somehow.
Funny thing is, with the second method (filesystem icons visible on the desktop), the WDMyCloud link in the sidebar of the finder doesn't work. It loads the folders in the drive (actually file systems) and when you click them it says Operation can't be completed because the original item for the <Filesystem> can't be found.
In the Finder > Preferences > Devices - Check the name of your Mac. An icon will appear in the sidebar and when you click it you will see the Devices mounted which will include the file systems of the WD MyCloud drive. (just in case you want to open those locations from the finder instead of going to the desktop and clicking that filesystem/drive icon).
