Ok, managed to find a way to save screenshots directly into micro sd card.
a) definitely, u need to be rooted.
b) download free "Screenshot Ultimate" app by "Ice Cold Apps" from google play store.
c) configure the settings of the above app and use
default Xiaomi method to take screenshots which will directly, push screenshots into the memory and folder of your choice.
p.s. above free copy of app has ads which I have blocked with 3rd party app. You may try to block ads by restricting data under Xiaomi green security icon > data usage > restrict. See if it works.