For the past couple of weeks the My Music folder has been missing from the Start menu. Trying to change it using Tweak UI was impossible because it had disappeared from there as well. The problem in first place must’ve been me trying to place the folder on a unaccessible network share.
The fix is simple once you know where to look. Change the following two registry keys to the location of your “My Music” folder and you’re set.
HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders