In tip 3633, I described How do I remove the 'My Documents' folder from the desktop, Windows Explorer, and the standard Open dialog?.
To remove the My Documents icon from the Start menu and its' sub-menus, Enable the Remove My Documents icon from Start Menu Group Policy at User Configuration / Administrative Templates / Start Menu & Taskbar.
NOTE: This policy does NOT prevent users from using other methods to access their My Documents folder.
When the Remove My Documents icon from Start Menu Group Policy is Enabled, the NoSMMyDocs Value Name, a REG_DWORD data type, at HKEY_CURRENT_USER\Software\Microsoft\Windows\CurrentVersion\Policies\Explorer is set to a data value of 1. When the policy is Disabled or Not configured, the data value is set to 0 or the NoSMMyDocs Value Name is missing.
If you implement this restriction via the registry, the user must log off and log on for the setting to become effective.