It's not only about the unlocked Bootloader but also about the custom ROM
People wrongly think that unlocked BL is a culprit. It's just that if BL is locked, you cannot flash custom ROMs, hence you have a phone with the official, unmodified firmware and therefore you don't have a problem
But when you unlock BL and flash a custom ROM and/or custom Recovery, then you have two problems for Play Integrity: unlocked Bootloader AND modified firmware
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On the other side, you cannot replace BL. And even if you would replace and locknBK, you would still have the custom ROM causing Play Integrity to fail
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However, it is possible to spoof both,unlocked BL and modified firmware with a proper Magisk module
But currently that nodule does not work with Xiaomi.eu Stable 14 (it works with Stable 13 and it works for most other phones and custom ROMs)
Hence hoping for Stable re-release that would be suitable for the PIF nodule - see the post:
https://xiaomi.eu/community/threads/miui-14-stable-release.67685/post-705788