I don't think it's necessary in step 3 to wipe system, in fact I'm sure I have read that you *shouldn't do that!tl;dr
If you want to run xiaomi.eu ROM, this worked for me (from a clean global ROM, unlocked bootloader):
Flash TWRP; reboot to recovery (pressing vol + and power works too); format data; reboot recovery; transfer xiaomi.eu ROM to phone; flash ROM and reboot to system.
If you want root, flash Magisk 20.4 after installing ROM (you may need to reboot recovery before doing this to get it to flash). Then reboot to system