If we want to keep track of a saved chat conversation on the Xiaomi smartphone, we can pin it.
The selected conversation gets pinned at first position, whether it contains new messages or not.

Note: If several conversations are pinned, they will be arranged in order and can be unpinned following the same procedure.

Android 10 | MIUI 12.0
Step 1:  Open the  Messaging app
Step 2:  Tap and hold a  conversation
Step 3:  Tap on  Pin
  1. Open the Messaging app
  2. Tap and hold a conversation
  3. Tap on Pin

Xiaomi Instructions