To enable "MySites" you need to pass through multiple steps:
1. Have User Profiles syncronization configured succesfully (e.g. from Farm Services you should have "User Profile Syncronization" on Started)
2. While configuring either the User Profile Service application (or afterwards, once successfully passed step 1), make sure you properly configured via the link "Setup my Sites" from the User Profile SA, under Manage Service Applications.
3. While here, make sure you also enable user under Manage Permissions to create My Site, etc.
4. You do need to create a MySites Host Site Collection (with a wildcard managed path to be able to create My Sites)
5. Enable Site Creation from Application Policy
Now you can start thinking about my Site, as the link in your user's actions menu will become visible.