Hi @Ana_Oliveira2 and welcome to the forum,
It’s important to understand that there are two types of custom fields: local project-specific fields and “global” fields that live in your organizational custom fields library and are accessible to all projects.
Read more here: How to Create and Use Custom Fields in Asana | Product Guide • Asana Product Guide
Most likely when you created the field in the project, you did not select the checkbox to add it to your organizational custom fields library, and therefore it’s a project-specific field and isn’t accessible from any other projects including your My Tasks.
If you edit that field in the project and add it to your organizational library , then it’ll be available in your My Tasks.
Having said all of that, also note that there is an existing organizational custom field called “Priority” that Asana always includes by default. Unless you’re looking for a different set of options than are included in the default field, I think it’s better to delete the custom field you created and use the built-in Priority field. otherwise you’ll have two Priority fields in your organizational library and it’ll be confusing which one to use.