UPDATE: Followed the steps in this thread: "Help: Install TWRP ..."
help-install-twrp-miui-7-6-5-26-beta.32317
Things began to work, using Xiaomi.eu ROM, as explained.
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I have Xiaomi Mi Pad 2 (2G, 64G). I also can not enter Recovery mode through Volume+ and power; have also been trying...