So I messed around with the import setting, and it becomes something like this:


Also I keep getting an error: Unsupported texture format - needs to be ARGB32, RGBA32, RGB24 or Alpha8
But I have set everything into those format, I don't know which texture does it referring to.
Update:
I played with it a little bit more, and I found out the following facts:
1. If I create a new Atlas Texture and slowly add my sprites folder by folder, it becomes like my image below when I just finished adding my sprites from fifth or sixth folder (You can also call it 5th or 6th patch).

2. If I move all the necessary sprite into one single folder, and I create a atlas texture by selecting all. It will create a perfect atlas texture which I can see all the individual sprite. But it is still pretty much like this image.

3. When I create a new atlas texture, the import setting of it has became as "Sprite" all the time, which I remember it should be "Advance" instead.