Thats because
my.x += any_value
moves the entity only on the x-axis of WED, no matter how it was rotated.

You could use this to get a non-collision but rotation dependent motion:
Code:

---

action move_me
{
  while(me)
  {
    my.x += time_step * cos(my.pan);
    my.y += time_step * sin(my.pan);

    wait(1);
  }
}

---

It is important to have both lines (my.x and my.y)!