Had the same issue as pangyaaaaaa and others in this thread described, with Mi A2 phone I ordered from AliExpress..
Eventually gave up and fixed it with opening the phone (even though I really didn't want to), finding the Test Points, and enter EDL mode, using this video:
https://youtu.be/wav1xNdJzII , I don't speak his language, but this guy is the only one I found that actually shows the full flow of entering EDL mode.
Really disappointed from Xiaomi, not the first time, probably won't be the last, because they're the only one with sane prices.. But next time, the minute I'll get a new phone I'll unlock everything right away for sure, even though I don't want to because it's not secure, Xiaomi just leaves us no choice...