As you see in the snapshot, just the main site appear in My Sites menu, Although it appears correctly in the "Network Admin".
I used the subdomain installation when I configured the Wordpress MU. And this is the Wordpress MU part in wp-config.php
define('WP_ALLOW_MULTISITE', true);
define('MULTISITE', true);
define('SUBDOMAIN_INSTALL', true);
define('DOMAIN_CURRENT_SITE', 'www.mydomain.com');
define('PATH_CURRENT_SITE', '/');
define('SITE_ID_CURRENT_SITE', 1);
define('BLOG_ID_CURRENT_SITE', 1);