Also, one very annoying detail I've stumbled upon a few days ago (in the hardest possible way, of course !) that is useful to keep in mind : if like me you own just one SIM/phone line but are juggling between 2 (or more) Xiaomi (or POCO/Redmi) devices, in order to check this particular box, you HAVE to have your SIM inserted in the device on which you want to activate this setting !
And apparently, if you take the SIM out after that, it deactivates itself automatically... :( :@
So in practice, you need to keep your SIM in the device you need to have this setting enabled on for as long as you need this setting...
Huge PITA !
Thanks a lot, Xiaomi (NOT !!!)