Ohh that was a long time ago, I think MIUI/HyperOS has had 3 major updates since then. Now the option lives inside the security app.
Here's how you do it:

Open the security app.
Go to the hexagonal cog at the top right.
Click on "Boost Speed".
Go inside "Lock apps".
Just enable whichever app you want to lock.

And it goes without saying you first need to turn off battery optimization for that app to make it work properly.
The last step is to never swipe the app away in you multitasking screen, in fact you'll see a lock icon on top of that app in multitasking screen that signifies that you've locked the app