Usually you connect the actions of such a TActionList to some visual control of a form (TMainMenu, TPopupMenu, TToolBar, TTreeView, TListView ...). Most of these controls have their own property to connect a TVirtualImageList, which should reside on the form itself. The latter is mandatory to make DPI awareness work properly.
It may sound wrong to have separate virtual image lists in each form, which often contain the same content - sometimes the same as the one connected to the ActionList. If you imagine that each each image list can only hold one size of images and each form can have run on a different DPI it becomes clear that this is unavoidable.
While it can be tedious to have all these TVirtualImagelist instances at design time, there are ways to simplify it. If you are interested I suggest reading my blog posts about ImageLists and High DPI