My Bad is a cue that tells the dog that the mistake made was not her fault.
Many people think this is a courtesy or just a nice thing to do with your dog. But it has actual practical applications. A mistake at an inopportune time can be catastrophic to the performance on the field.
Telling the dog that the mistake was yours and that she doesn’t need to feel bad or put herself out to fix that mistake can smooth over or avoid the catastrophe altogether.