I have bad and good news.
The bad news is that the mi home skill for Alexa is not a good solution. Yesterday failed a lot, always saying that the device (yeelight color bulbs) was unresponsive. I presume that it's due to China server being so slow.
The good news is that finally I got the gateway working on Singapore server
I followed @stormdreamer steps again and in the first attempt the gateway was not detected.
I logged in into China server again and left the gateway in reset mode and unplugged from the wall for about 2h.
Then I plugged the gateway into the wall (it was already in reset mode), logged directly into Singapore server and, without doing anything, this time i could see the gateway and switches in offline mode (strange but it is true).
Then I clicked on the gateway on mi home app and it started to establish connection but gave me a timeout on first attempt. Second attempt to connect I pressed the button on the gateway (one single click) and it finished the configuration!
Everything is working just perfect now, Alexa never fails when dealing with the lights and all my devices are working perfectly and the connection was made on first attempt.
Very special thanks to @stormdreamer for sharing his experience with us which is leading us to successfully connect or mi devices to Singapore's server.
Guys, keep trying, it ends up as being as question of persistence!