Same problem here: MIUI 14 was not showing notification. They would come in alert center, but not pop up on screen like they were set to do. Not in locked mode, and not whilst using. Everything was set as it should have.
Note: I moved to my new phone after restoring a backup from my old phone.
What I did (after backup files manually, and backup whatsapp to google), is a factory reset, and everything worked as it should.
It is a pain, but notifications are working now on my Xiaomi 13 Note Pro.
The problem that is still remaining is that my phone does not work well with Mesh roaming, it still looses connection when moving between DECO routers.