MyWorkDrive does not include any built-in options to allow users to change passwords. When using SAML/SSO changing of passwords is no longer required since the SAML provider control access (for example Azure AD).
For customer's using username/password to login to MyWorkDrive, please note there are many third party utilities that allow changing passwords using a web interface.
One option is to use the built in remote web option in Windows Server as detailed in the article here.