Thx a lot Charles

I also found that there is a small trick easy to be overlooked.

Everything went fine until the final step I click the "Replace all" button.

It returns a message saying "word has finished searching the whole document and replace '0' item."

Then, I checked the items in the "Find and Replace" dialogue window again, and I noticed that at the 1st time I selected the formats(bolt & underline) for the output item, word also apply these formats to the item in the search box. That's why it could not search the word being replaced.

I had to go back and click the search box and used the "formatting" again to undo those changes before it could find and replace the item with new formats.