Points to check:
- latest ROM version
- latest Mi Unlock Tool
- Mi account details entered in phone
- some users had to wait up to ten days. I personally unlocked straight after receiving the message without any problems.
When did you receive the unlock permission? Some users had to wait up to ten days to be able to unlock.
Did you enter your Mi account detsils in Settings - Mi account? You'll have to use the same account as in the unlock tool.