I think you guys can check anti-rollback on your devices by using command: fastboot getvar anti, like Redmi note 5 pro.
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I guess it is possible that firmware version after you updated latest version of CN rom is newer than firmware in xiaomi.eu rom. I'm not sure how to check firmware version of a rom or a phone.
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@pargon: Did you try this https://xiaomi.eu/community/threads/new-xiaomi-redmi-6-pro-rom-update.45054/#post-429540 ?
I'm still waiting to unlock my bootloader.