Hi!
In my case I hadn't no trouble pairing it. It worked for me using "short press" (slow blink) pairing button. After adding controllers.bluetooth.alternate=1 to recalbox.conf it seems to work using "long press" (fast blink) button way. Anyway, it seems to work perfectly for me except for Kodi.
In my case, the only trouble I have is using Kodi. It doesn't seem to respond to Xiaomi Controller, so I use Virtual Pad. In that case Virtual Pad only works if Xiaomi Controller has not been paired in first place.
I'm using:
-Rasperry Pi 2
-CSL - V4.0 USB nano
-Xiaomi Controller
-Sandisk Ultra Fit 128GB USB 3.0
-Recalbox 4.1 fresh install
Thanks for your time and sorry about my English.
Cheers.