There is no requirement that a Mythos tale have a mystery in it, but the most successful often do. The main character of “The Call of Cthulhu” is a policeman, Inspector LeGrasse. Lovecraft knew that a detective would have a logical reason to dig into the strange occurrence surrounding his bigger mystery: that of Cthulhu’s existence and operations on Earth. Classics like “At the Mountains of Madness”, “The Shadow Out of Time”, “The Whisperer in Darkness”, and “The Haunter of the Dark” all use a similar motivation to drive their stories, whether the investigator is a professional detective or an amateur one.
Knowing the rules of mystery writing can’t hurt, but using elements of mystery in a horror tale is a little different. For instance: you don’t need a murderer, or to play fair with the reader to present clues about such. You don’t have to limit the possible suspects or the number of clues. The mystery elements in a Mythos tale are more often bread crumbs on a trail leading the story to a terrible ending. Where the mystery tale is one that reaffirms the order of the universe (the detective righting wrongs), the cosmic horror tale is the exact oppose, a story that slowly reveals that there is no real order to anything in existence. The protagonist is not required to play detective; the terrible clues may reveal themselves, like them or not.
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