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Special:MyPage is normally just a special link that is dynamically linked to the current user's userpage.
By adding subpage additions, users can create a dynamic link to any user subpage within their userspace. This makes the link "private" by only letting the correct user access a certain page. Users will be taken to their subpage with that name, which would probably be non-existent.
The code [[Special:MyPage/To-do list|To-do list]] creates this: To-do list.
However, keep in mind that pages can never actually be private. A user still can simply combine your username and the subpage to create a link, but it takes additional effort and investigation.