Hello everyone,
I got a K40 Pro+ (Chinese), and it got the system updated to MIUI 12.5.3 beofre I got to see the fastboot bootloop problems.
Anyway, I tried installing the EU rom following all the steps mentioned in this thread, and it never worked.
In the end I tried all the process again (install in slot a, then slot b, then stable rom), but using the latest weekly (currently 21.5.26) and the same stable rom as I had originally (12.5.3). And it actually worked!
Anyway, I guess the strange process mentioned before still works, you just have to make sure that you are using suitable versions of weekly / stable roms, matching whatever MIUI was installed before attempting to change roms...
Thank you a lot for all the information, guys!