Since August 1st, all NEW OneDrive for Business site (so called MySite) will be provisioned without the Shared with everyone folder.
It seems it took longer than expected as my tenant was not updated to support this new configuration. Now it is done, here is how you can request to continue to get the Shared with Everyone folder.
If you want to continue to get the Shared with everyone folder, you can either instruct your end-user to create a new folder with the same (or similar) name and then share it with everyone; or you can run the following PowerShell command to continue the automatic provisioning of such shared folder.
Set-SPOTenant –SharingCapability Disabled –ProvisionSharedWithEveryoneFolder $true
Before running this command you must check if your tenant accepts the ProvisionSharedWithEveryoneFolder parameter thanks to the Get-SPOTenant