Although you can turn HDR on in the Mi Box options right now, doing so doesn't actually do anything. The box will need OS support for it that's only available in Android 7.0 and higher.

Sorry to answer your question with another question, but what does that option even do?

Deep Color is a 1080p term.

Very few 1080p TV's support deep color. It was mostly on high end computer monitors. You paid a premium for it back in the day just like you pay a premium for HDR on 4k. It didn't really catch on though.

If it auto disables that means your TV doesn't support it. No clue why the Mi Box supports it when very few devices support it. Seems like a waste of programming.

Also something of note. Your source needs to be encoded in deep color to actually use it. Some DVD's and Bluray's are encoded in deep color but then again you wouldn't be using your Mi Box to play a DVD/Bluray. I don't think any of the streaming services use deep color. It would be a waste of bandwidth.

Yes Have same issue with my android TV Box. Shutting my TV down and start it back, Deep colors are disabled (even with deep colors enabled on my TV).

I just have to re enable it after on my tv box. It's not big deal but it actually works. I've tested with 32-bit gradients picture and this same gradient in mp4 10-bit format that actually is better with deep colors enabled in 4K if the display is compatible of course.

Just don't compare HDR with Deep color mode they're two different features.

Deep colors mode is output 10-bit (30-bit colors 1.07 Billions Colors)

HDR is like a fusion between two or three different pictures or videos of the same scene with different exposure in one at the same time. (You might find out infos about HDR googling it and it's actually used from many years with bracketing in photography).

Now that some displays have this HDR technology for movies they're very expensive for the low numbers of app that uses it.