You can lock the bootloader having a different region STOCK ROM only, and I repeat ONLY, if your device is a GLOBAL device.
If you have a Chinese device you can lock the bootloader only if you flash a Chinese STOCK ROM.
Here are the rules:
1. Chinese device + Chinese stock ROM + booloader lock = OK
2. Chinese device + any NON Chinese stock ROM + bootloader lock = NOT OK!!!!
3. Global device + any STOCK ROM (global + Chinese) + bootloader lock = OK
4. any device + any custom ROM + bootloade lock = NOT OK!!!!
I played with sock roms on my Mi 10 and Mi 12, both being global versions.
To check the device market version, open into a desktop browser the official page:
https://www.mi.com/global/verify#/en/tab/imei