Xiaomi has left it late again with the Mi A3, but it has at least finally upgraded the device to the February 2021 security patch. Last month, Xiaomi took its time in releasing V12.0.4.0.RFQMIXM, which upgraded the device to the January 2021 security patch and fixed its screen recorder. The latest update, V12.0.6.0.RFQMIXM, only advances the device's security patch level, but Google has packed plenty of fixes in this patch.
Specifically, the February 5 2021 patch addresses 23 high or critical CVEs, details of which you can find in the latest Android Security Bulletin. In summary, the February 5 patch addresses two Wi-Fi-related CVEs, one display-related one, another to do with audio and a separate one concerning the device's cameras.
V12.0.6.0.RFQMIXM should download automatically as Xiaomi has distributed it as an over-the-air (OTA) upgrade. The OTA will only arrive on Mi A3 handsets that Xiaomi has enrolled on the global version of MIUI though, rather than EU ones. You can find which branch in which your device is enrolled by reading its build number within the main settings menu. If the build number contains 'MI', then it is a global model. Conversely, the European version has 'EU' in its build number.