Hello there, @kristof_deschri ...
If I understand your question correctly, you are first clicking on the "Studio" icon on the left-hand global navigation menu, and then clicking on the downward pointing arrow next to "My Library" at the top left corner of the Studio interface. I am a Canvas administrator, and I build a lot of courses for our faculty. Sometimes, they have videos included in their courses (either ones they've created on their own or ones from YouTube). I add those videos into my Studio library, and then I embed those videos into course content. I believe the "Course Media" heading you are asking about is populated with the names of courses you are embedding Studio media into. So, for me, I have many, many courses in my list (the list actually takes a while to load because of the number of courses I've built over time). And, as I embed videos in new courses I work on, those courses will also get added to my list.
Does this help to answer your question? Looking forward to hearing back from you soon.
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