Work Visa

I think you are confusing different points.

The visa when approved requires payment.  When it is paid, the visa is printed out by your employer and sent to you as a soft copy.  You take a print out and travel to Bahrain.  When you arrive here and hand over your passport, it will be stamped then.

If it was approved and payment made on 3rd May, you should have gotten the soft copy by now.  You need to check with your employer.

I have the soft copy but my employer said , there are other docx that need to be accomplished at the phil embassy there in bahrain then it would be forwarded to my agency here ..

That has nothing to do with Bahrain.  For most nationalities, they can leave their country and enter the minute they get a visa.  Except for the Philippines as your country dictates additional requirements  before allowing you to leave (this delay is due to Philippines not Bahrain).   

It is requirements of the Philippines labor office which your employer is probably fulfilling.  Otherwise they will not allow you to exit Philippines.  It really varies in terms of time and the issues to be resolved so check with your employer.

Practically, any other nationality , could theoretically have caught the plane to Bahrain on the 4th of May i.e. one day after the visa was issued.