I think it's mainly a definition thing.
If you define mythology as a bunch of made up stories set a long time ago about things we can't (couldn't) explain and about the rules of behavior, (which is roughly what the definition today is) then the elves don't have them. The elves know what happened, their gods are real, it happened only something like 8 - 10 generations ago. And that in a people who have strong ties in tradition and believe in the past and written records for most of the way. And while they have suffered from war over the years, some places of knowledge have been in elven hands for pretty much ever. So little chance of records getting lost.
With the 8-10 generations in mind, you should see it as something that happened 250 -300 years ago in our world. Not as something that happened at the time of the ancient greeks. We have a pretty good idea of what happened in the
18th century for instance.
If you define mythology as the set of tales that describes the origin of the world and the relationship of the gods and their functions, then the HE definatly have them. We don't see (all) of them, since the part of the HE we run into is the fighting part. But just look in the army book at how we have items related to the different gods. You can be sure that there will be stories related to these items and the gods defining them.
And, anything that happened before the departure of the old ones will have myths related to them. Since most of what happened then is clouded in mystery. Even the Slann aren't always clear of what was going on and what the old ones intended.
Rod
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