I solved my problem.
Looking at the log I see these lines:
[MH201 gateway - 192.168.1.32] Message `*#1*0205##` was successfully sent.
[MH201 gateway - 192.168.1.32] Message received: `*1*0*25##`
which I guess is the status request and the answer. The second line is also repeated after the commands to turn on-off the light. It should be the new status confirming a status change.
Interestingly, the commands are sent for a where=0205, but the answer is sent for a where=25.
I changed the where to 25 (removing the zeros) in the yaml file and everything now works as expected.