If you're already running a .EU rom, then your bootloader is already unlocked (you will see an unlocked lock icon at the top of the image shown when the device is first powered on). Right now the stable version for STAR (Mi 11 Ultra) is only a recovery rom, so if you don't have TWRP currently installed you will need to flash that first, or temporarily boot it using fastboot tools. Download the rom to your phone. Then download this to your PC:
List of relevant recovery in one place
sourceforge.net
Try the one for A12 first since you are on an Android 12 based rom currently. Rename it to "recovery.img" and put it in the same folder as the fastboot.exe and follow the steps below:
Reboot to fastboot on your phone by powering it off and then back on while holding the power and volume down buttons together. Plug the phone in via USB and then at the command prompt in the fastboot folder type:
fastboot boot recovery.img
on your phone you will have to decrypt your storage using your PIN number.
Then goto Install, and select the rom you previously downloaded to your phone.
Your phone should then update. Next time you update you will already have TWRP installed via this rom upgrade and you can skip the fastboot steps and just install the new rom.
If your phone already has TWRP installed, and NOT THE BUILT IN XIAOMI RECOVERY, then you can just download the rom to your phone, reboot to recovery (power+vol up), goto install, and select the new rom you've downloaded.
You should be able to just upgrade without data loss, but if you incur any problems, a wipe of the data partition is recommended.
So you should still backup important things first, just in case.
Things to note: If your data partition doesn't decrypt properly, try the A13 version of the recovery instead. If it still won't decrypt using that version, then you should wait until a HYBRID rom becomes available for your device, then you can upgrade in a couple clicks using fastboot and a PC. You can see in the original posts that as new releases come out they are switching to hybrid, which means they can be flashed via a PC, or through TWRP recovery.