I have no *previously existing* projects, but I just used "create content" to add my first project. I was using My Projects (the link) to check and see if the site owners had approved my project yet, or if it was still awaiting approval.
When I go to My Projects, however, I see *all* projects. That seems quite counter-intuitive.
OK, should the link disappear or should a "you own no projects" message get displayed?
If the link disappears, then one can't click on anything to see *whether* one has a project [yet], so I'd say the link should stay. If it went away, you would probably have people wondering "how do I know when my project is published by the site admin?", since there would be no obvious way to check for themselves.
OK, just fixed in the project module code. Will show up on Drupal.org when they upgrade the site code. Goba