To update EU Rom you have to download and update manually, only the update notification is automated.
If something is totally screwed up or deleted by mistake i recommend a clean flash with Mi Flash tool and latest MiFlash ROM.
Redmi 4x Santoni TWRP upgrade from 3.2.3-0 Santoni to 3.3.0-0 santoni works, i tried it just now.
Upgrade from an older version to 3.2.3-0 i had to format data to access Data partition.
Just for Info
You have various options to backup your data:
1. MIUI backup
2. Backup to Mi Cloud
3. Backup data partition in TWRP
From all 3 option you should be able to restore
I always recommend a clean (wipe davlik, cache and Data) install when switching ROM's.
As i mentioned before, my Mi6 works flawless, no problems whatsoever, no Root and no Magisk modules installed.
I would recommend to remove all Apps installed which are not included in the eu. ROM, unroot and uninstall Magisk and flash ROM again.
Just read your problem and tested the same situation, i have no problem at all, Mi6 switches WiFi as it supposed to be.
I have no suggestion for your case exept a complete new installation with the latest china Developer MI Flash ROM and then again switch to eu ROM.
This is the best way to start...