Same problem here. Just adding to get visibility on this problem, hopefully.
I'm trying to switch to Loop as it meets more of my needs in one place. The tasks assigned to me in Loop will appear in To Do and Planner appropriately but do not appear in the My Day pane at all. I tested tasks Assigned to Me originating in Planner (simply eliminating the extra step between Loop and Planner) and they also do not appear.
I have Planner toggled on under Connected Apps, as suggested previously in this thread.
This is a huge functionality issue as it eliminates the ability to create calendar events from tasks and time block the right way.