This is because there is a hidden file within the My Documents
folder named desktop.ini
that is telling Windows that the folder is special and should always be named My Documents
even though the folder name on disk may be different.
Deleting the desktop.ini
file should revert the folder to the name you are expecting to see. You may need to enable viewing hidden files as well as system files (in the same place as enabling hidden files).
After you delete the file you'll want to re-hide system files at least in order to not see the desktop.ini
files on your desktop and everywhere else.