The conversion doesn't work using "Auto" unfortunately, since the stick doesn't have an optical audio port, I assume they also removed the "SPDIF" option from audio settings, in which the conversion is supported with every app using DD+ (Netflix, Prime Video, Google Play Movies, etc.), and it works NOT only on the Mi Box S but on the Ematic Jetstream and every other Android TV device with Android 9 with an SPDIF port.
I have read somewhere that to get DD+ to DD working you need to choose SPDIF option in Sound. Keep Digital Sound in Auto mode.