“Mythic Actions” are an optional rule given in Mythic Odysseys of Theros.
Unfortunately, usage guidance for Mythic Actions is not given in Van Richten’s Guide to Ravenloft, despite its having a creature with Mythic Actions. Usage guidance for Mythic Actions is found in chapter 6 of Mythic Odysseys of Theros, in the section “Mythic Monsters”:
Mythic traits transform battles into truly legendary confrontations, well suited to the climactic battles at the ends of adventures or whole campaigns. Mythic traits are optional; they don’t need to be used during combat with these monsters. If you so choose, you may simply ignore a monster’s mythic trait and mythic actions. If you wish to increase a battle’s stakes, though, using a monster’s mythic trait results in some mid-battle twist that changes the way the monster behaves, restores its resources, or provides it with new actions to use. As a result, the battle becomes deadlier and rages on for longer than most combat encounters. Each monster features an “As a Mythic Encounter” section that highlights its mythic trait, notes how using it changes the difficulty of the encounter and the rewards, and includes read-aloud text you can use mid-battle to signal a terrifying shift in the conflict.
This section in Theros goes on to give detailed guidance for using Mythic Actions for three of the monsters presented there; this guidance may be helpful for motivating the use of Mythic Actions with the Dullahan.