Does a PC need to be proficient in land vehicles in order to ride a Phantom Steed? Or can they ride it without proficiency, but just not well?
Land vehicles only come into it if you hitch the Phantom Steed to a wagon. The steed itself is not a land vehicle.
I can see no reason why you couldn't use it to pull a wagon and if so, proficiency in land vehicles would help you with any checks you might need to make but your stat bonus (usually Dexterity) applies regardless. However, read the description of vehicle proficiency "If you have proficiency with a certain kind of vehicle (land or water), you can add your proficiency bonus to any check you make to control that kind of vehicle in difficult circum stances." - normal circumstances do not require any checks.
Proficiency in Athletics or Acrobatics might help you in some circumstances (the steed has the same stats as a riding horse and is not proficient), however, riding per se is not something that requires a check - anyone can do it.
You don't have to be proficient in anything to perform the action. Anyone can ride a horse or track an animal or climb a wall, etc. Well, they can attempt it.
Being proficient in something just means you will be better at it than an untrained person. Sometimes this means you have a chance of succeeding where an untrained person has none.
Riding an animal is not riding a vehicle, its riding an animal.
Chariots, carts, carriages, wagons, etc. are all examples of vehicles. Checks need to be made with those when circumstances require it, such as riding dangerously close to a cliff edge at high speeds, jumping your vehicle off a ramp and nailing the landing, dodging boulders in difficult terrain, etc.