Can the Roland GX-24 cut Mylar?

That would ultimately depend on the specifications of the stencil material itself and the manufacturers recommendation for use in a vinyl cutter. The Roland GX-24 should be able to handle that type of material assuming that it is on some kind of carrier sheet or backing material. USCutter also carries a similar product designed to be used in a vinyl cutter. It's called GreenStar 7010 Synthetic Stencil Board  and it's really great material if you don't need to see through it.