I see that MSFT pulled the October update as of 6Oct2018 (Build 1809). Just wanted to toss out another similar issue, but different...
While I didn't lose anything in the "My Documents", my entire desktop folder (c:\users\rcurtis\desktop) was gone. As reported by others, the folder was there, but no contents. Even looking in windows.old, it was empty, so like others reported, a restore to previous build would not help.
Here's where the difference set in... I have folder redirection setup to sync profile information stored on a network drive (ref. HKCU\Software\Microsoft\Windows\CurrentVersion\Explorer\User Shell Folders). I also don't keep typical profile info stored under 'special folders' (profile based). My 'documents' are actuall off the root in C:\Documents (not a special folder) and likewiese with Music, Photos, Videos -- each are separate folders off the root. None of those documents were impacted, nor were any of my redirected folders (obviously), however the contents of my c:\users\rcurtis\desktop folder were. I did have a backup, but still -- MSFT should have had easily trapped such a glaring flaw, and given the Windows.Old folder/function, how can something like this occur?
I've always been an early adopter to test some of the applicaitons I have to support (where we've been bit in the past -- 2017 Fall Creator build notably -- given the .NET issues), but I have never experienced issues where personal files vanished. Obivously, MSFT is not going to be able to magically restore the personal documents of the many, many folks affected, so it will be interesting to see how MSFT responds...