Just informing others of what I did and what happened when updating the MI 11 Ultra ROM to the new Recovery version:
1 - with the correct TWRP version (and renamed as indicated in the first post) inside the ADB folder of my PC, I put the phone in fastboot mode
2 - connected the phone to PC with the original Xiaomi Cable
3 - opened .cmd and typed "fastboot devices" to confirm that the PC recognized the phone
4 - changed the directory folder that the ADB cmd was reading with the command "cd C:\adb" in the cmd window (the C:\adb directory path may vary depending on where you saved the renamed TWRP image)
5 - confirmed the presence of the twrp file inside the directory with the "dir" command in the cmd window
6 - typed in the cmd window "fastboot boot twrp.img" as indicated in the first post (this command may change depending on what phone you have, check the first post)
7 - the phone received the new twrp version (English already, no need to go to the language settings)
8 - I selected the "install" option
9 - I chose the correct ROM from phone files (mine was saved in the download folder, go to where you saved your ROM)
10 - I swiped to flash it
11 - I got the same message indicated in the second post of this thread
12 - I went to the advanced option and selected "install the current recovery" or something like this
13 - After the flash of the current twrp, I went to the reboot option and selected "Recovery" so the phone would reboot again into the twrp
14 - repeated steps 8, 9, and 10, got the same message as step 11
15 - did again the steps 8, 9, and 10 and then the phone did the flash of the ROM
15 - selected the "reboot" and "system" options and now I'm here to thank all the staff members as it happened exactly the way they said it would and the phone works as supposed. I haven't had the time to check if there are any bugs, I just wrote all of this to explain how the process was for those who might be afraid of something or are scared to update the ROM now that it's by the recovery method.
Sorry for the bad spelling (English isn't my native language) and for the bible I just wrote lol