I'm not aware of any issues that could happen either way.
I would flash the latest available fastboot ROM according to the device's hardware (China ROM for Chinese hardware, Global ROM for Global hardware), and then migrate to Xiaomi.eu.
If you have any doubts, you can use a Terminal Emulator and enter the command "getprop ro.boot.hwc" to check your hardware region, unless Magisk is installed which could mess with this prop.