I think the problem is related to the PowerShell. Because for the similar laptop of my colleague in the same network, they works fine for Python and other language and git. The only problem is from reported from Julia language.
After trying many times, I found a solution. Use Julia from WSL Ubuntu18 on windows 10. All the problems are solved. I use VS code as editor in Windows and run the VS code server on WSL. All the functions including debug work well. I also install Jupyter and Python in WSL and used Jupyter as the IDE in Windows10. The work flow is similar as before.
Hope this would help the people use Julia in the company as me, and Julia community cold solve this one day. Just as Atom, which cannot install extension in the company caused by similar reason. Currently, the problem is solved.