Not that often? but they do it yes, I think Anahita has done it before at the lake of death, not exactly with Mithra he was just there, and she would've loved to dance with him back then. They were at the halloween event so they were so excited to learn Mithra could dance now, even if clumsy, but none danced together even then and it only happened eventually when they were already in a relationship Mithra asking them if he could have a dance one time at the manor and from there she felt more confident in asking if he would like to dance or doing it around him, so they don't do it that much it happens sometimes and for a while he was still clumsy and that only made Anahita even more fond of it, same for Mithra it felt enjoyable to dance with her just because both wanted to and how she smiled at the proposal