Is it common to have no MathSciNet version of a paper in Mathematics?
Technically speaking, the answer to your question is that no, it's not common for a paper not to be indexed. MathSciNet indexes almost all reputable math journals. And I say almost because like all good mathematicians I don't want to make an unproved universal claim, but I don't have any example of a non-indexed reputable math journal in mind.

What is happening here is that the paper you have linked has not been assigned to an issue yet. It is an "advance article", it's available on the publisher's website but it has not been published in print yet. MathSciNet does not index such articles and waits until the paper is formally published to index it. Basically math moves faster than publishers. There is nothing out of the ordinary here.

Since it's been almost two years that the paper has been published online, one can hope it will be formally released soon. From my experience it's a bit long. IMRN has quite the backlog and their oldest advance article is apparently from April 2018. My guess would be that in June the paper will be assigned an issue and that a few weeks/months later it will appear on MathSciNet. Whether this is good practice on IMRN's part is another discussion.

As for your question on how to cite it, you can write the .bib yourself. It's really not complicated. Another option in this particular case is to click the "Cite" button on IMRN's page. They provide a bibtex file. There are no page numbers, of course, since the article is not part of any issue yet.