It is actually possible to avoid custom css. Specify the MudTh to colspan as required, then place two rows (MudTr) within, the first can be your 'spanning' text, the next row then has the correct number of cells (MudTd).
<HeaderContent>
<MudTh Class="text-center">Activity</MudTh>
<MudTh colspan="6" style="background-color: #c0e6f5 ">
<MudTr>
Review
</MudTr>
<MudTr>
<MudTd>Activity</MudTd>
<MudTd>Mins/week</MudTd>
<MudTd>Job Plans</MudTd>
<MudTd>Week Mins/Job Plan</MudTd>
<MudTd>People</MudTd>
<MudTd>Mins/Pers.</MudTd>
</MudTr>
</MudTh>