I can't take credit for this, but it's an easy fix. After connecting, just press play/pause on your headphones. You see a toaster popup indicating you're good to go.

Xm3 do not support multi pairing, because they have bluetooth 4.2. You need bluetooth 5.0 for that. That is the only issue critics had with the xm3.

I also have a Mi Stick and I sort of found a fix for that. Not really easy and don't work well. 1- There's this app Bluetooth Pair which will give you the connect button. 1.1- This app has an Android TV version as well, which could work great, but I wasn't able to test it. If you can, then you can just install it and ignore the next steps.

2- What I made was to side load the Android App which is free to the Mi Stick. I don't know if I grabbed the apk from my phone or used Aptoide TV store to install it. You'll have to try. Once you managed to get Bluetooth Pair installed on your Mi Stick we can go further.

3- As it is not an Android TV app it will not show in your app list as usuall. So you will need to install a launcher, in this launcher you can launch the Bluetooth Pair app. I couldn't get a link to the launcher I use but it's one of the first results if you search "launcher" at the Android TV Store. It is named just "Launcher".

4- In the app you'll have the "Connect" button, it's kinda tricky to get to the button using the remote control but it's easier for you to learn than to me to teach, as I'm not very good with English.. Sometimes you will have to click two, three, four times for it to actually connect. Maybe it won't work, I managed it to work with my Edifier w820bt headphone but not with my Sony GTK-XB5 soundbox.