I followed your advice and I tried with a my phone as Wifi hotspot with the same SSID/password as my regular DSL routeur. And like for you, my Xiaomi Yeelight scenes worked perfectly for all bulbs, as it was working before.
This remains however weird. As I do not have a FritzBox, I tried to figure out what does the option on your routeur consist of (i.e. to see whether it exists on my own router but under another option/wording). Unfortunately, the routeur provided by ISP does not over so many settings.
So I tried another things, which has fixed the issue so far : I set permanent IP for each of the Yeelight Bulb. I looked for each bulb MAC Address and I configured my router to have permanent IP address for these bulbs, outside the DHCP range.
And, voilà ! I restarted both the bulbs and the router and everything is working perfectly fine for now. I cannot confirm if this will last but it is working fine now. It reminded me many trouble with a SAMSUNG wireless printer which was perfectly for some time and thereafter I could not print. Further to a call with Samsung Service, the technician recommended me to use permanent IP address (configured through permanent IP lease on the printer’s MAC address on the router) and this successfully solved the problem.
I think this problem is related to internal routing and security and perhaps to NAT/firewall requirements, since this is perfectly working from a mobile android hotspot (which does not feature NAT/firewall or advanced routing settings). But I am not a network/IT engineer.
Good luck and I will keep you posted regarding any change!