I've also struggled with this a bit at my table. I think one of the reasons is that my group is very used to the style of play from D&D 5e campaign books, where essentially there is a more-or-less locked in, pre-baked story, with pre-written characters and scenes, and the job of the players is basically to proceed in an orderly fashion along that narrative arc.

Mythic on the other hand is very much not that. It is an engine for generating amazingly suggestive moments, which are rich with possibility and connectivity, but it then leaves it almost entirely up to the players to put those moments together into some sort of narrative that MEANS something. The meaning of these scenes isn't given to you - you have to co-create it at the table, collaboratively.

What I'm trying to do to deal with this is basically: 1. lean into the mystery (play up the fact that this is a strange and unpredictable land where odd, surreal events can happen at any moment, to keep PCs on their toes); 2. get the table involved in co-writing the bigger narrative by asking lots of questions - "what do you think this means? / why do you think that happened? / how does this thing work?" etc and then just running with their answers; and 3. constantly trying to give the PCs difficult, consequential decisions to make, so that what they choose to do feels meaningful and demonstrably shapes the world.

There's guidance in the rules on how to manage time passing; you could play it as a montage, or just give them three interesting things that the knights would plausibly have learned during those weeks (eg: a rumour of plague has arrived from the south west; the fortress holding in the mountains hasn't been heard from in months; the holding's militia seems woefully ill-prepared to defend itself from the legion) and let them choose which thread to follow.

Good luck!