More generically, it is a requirement for the Window's logo, for any program. And we've had to deal with this innanity since Windows ME (I think that was the one), so it's been a headache for better part of a decade now.
Dungeon Siege was the first one I saw it with, back when MS started enforcing this with their own titles. Now it's pretty standard for any game, since you can't write save games or config info into Program Files.
I see it the same way. The "my documents" thingy was invented via Win95, I believe, but I can only tell that from Win98SE, which actually has it.
Dungeon Siege even has an empty "savegames" or "saves" folder under its game directory which contains nothing but a small text file called "where are my savegames" or so which explains in small words that the games are now under "my documents" folder (if I remember that correctly). (The "my files" folder is called "eigene Dateien" I think in the German-language version of MS Windows 98 SE.)
So, I think it was only a matter of time until MS developed a directive to put ALL user's stuff into the "my documents" thing. Similar to the "user space" of unix & linux systems.
The "my" thing was hyped long ago, even producing things like "MySAP" (I have a demo CD from a CeBit several years ago). One version of later WordPerfect (I think it was 7 or 8) has problems with a folder called "my files" missing or misspelled. The usual workaround is to make folders called "My Files" and "MyFiles" just to make sure.
I think, the underlying philosophy is to divide "user space" aka the user's stuff from everything that's OS-related.
The implementation of that isn't optimal in all cases, though.
Edit : And, by the way, I often encountzer programs that insist to install them selves into the folder called "Program Files" instead of "Programme", which is the official translation used by MS for Windows98SE.
They didn't translate *everything* properly.
So, I have to force programs to use a different path or I'll have to look in both folders.
And some don't even use the "Eigene Dateien" folder, which is MS official German translation of "My Files", I think.