Is it rare to have an Absol with a bug type attack

It's actually quite common to have Pokémon that has moves that would be strong against their types. I have psychic types with dark moves, normal types with fighting moves, and plenty others where this is the case.

The only case where it would be rare to have Pokémon with certain moves are legacy moves, such Gengar with Shadow Claw or Blaziken with Stone Edge. Legacy moves are moves that particular Pokémon can no longer obtain, but older Pokémon may still have these moves.

Megahorn is exactly as common as its other charge moves. Outside of legacy moves and other special cases, a Pokémon has an equal chance of knowing any one of its moves in each category when you catch/evolve it or use a TM.

The fact that Dark is weak to Bug doesn't really factor into it. The moves a Pokémon can learn are based on what moves they can learn in the main series games, which in turn are based on thematic reasons more than type-based ones. Absol can learn Megahorn because, well, it has a horn.

The developers occasionally give a nod to competitive balance when designing movesets, but for the most part type advantages don't really factor into it unless they don't make any sense at all (for example, in the main series games, Fire-type Pokémon typically can't learn most Water-type moves, but a couple can learn Scald because that makes more sense).