@Substring i tried your method with recalbox 4.1 :
run /recalbox/scripts/bluetooth/simple-agent <macaddress>
sometimes it works without any problem, i can even connect a second xiaomi controller with the same method.
but when i reboot recalbox, sometimes i can't connect any controller. I keep rebooting until it works.
to sum up : 1) when it works i can connect two xiaomi controllers and autopair works too.
2) Sometimes i cant connect any controller and i have to reboot until it works.
I tried to run bluetoothctl to see whats going on when it can't connect. it tries to connect without success. here is what i get :
Attempting to connect to AC:FD:93:CB:50:16
Failed to connect: org.bluez.Error.NotReady
[CHG] Device AC:FD:93:CC:44:EF Connected: no
[CHG] Device AC:FD:93:CB:50:16 Connected: yes
[CHG] Device AC:FD:93:CB:50:16 Connected: no
[CHG] Device AC:FD:93:CB:50:16 Connected: yes
[CHG] Device AC:FD:93:CB:50:16 Connected: no
[CHG] Device AC:FD:93:CC:44:EF Connected: yes
[CHG] Device AC:FD:93:CC:44:EF Connected: no

@pillabichos i had the same problem and i found a solution to connect (sometimes) the controller using Putty. im using a raspberry 3 with xiaomi controller and recalbox 4.1.

login as: root
root@192.168.1.85's password:recalboxroot
long press the central Mi button of your controller. It should blink fast.

hcitool scan

Scanning ...
XX:XX:XX:XX:XX:XX 小米蓝牙手柄

XX:XX:XX:XX:XX:XX is your MAC adress (ex: 1C:96:5A:DD:BC:CE)

    # **hidd --connect XX:XX:XX:XX:XX:XX** (your MAC adress ex 1C:96:5A:DD:BC:CE)

Your controller should stop blinking and connect to your raspberry.
sometimes it works and sometimes it won't... i still dont know why...
furthermore you will have to make all of this each time you need to connect your controller.
hope this helps and if someone know why sometimes it doesn't work (hidd connection refused) feel free to help.
and im still looking for a solution in order to make my raspberry remember my controller.