OK! I finally solved the tricky issue. This tough thing nearly made me contribute my 50 bounties (almost half) !
After some survey, I found the first clue,
Security Error in APPFabric when changed the security mode from None to Transport?
(Note, I can't easily google it out from some keywords, but the result I want was easily dug out from Msdn AppFabric Cache forum. I thought google search can help me to find any answer.)
I got the same exception message as the first link. But Rahul's answer didn't work. However, Rahul's link revealed a second clue, that is, use Tracelog.exe to track the connection problem.
From the track log in Event Viewer, I found there are some error events saying my server's authority isn't accessible, so I searched in the third clue, Cache Administration PowerShell commands for setting permission in PowerShell.
In the third clue, thank the author, mark_og who really saved me ! You taught us how to set the permission in IIS like this,
Grant-CacheAllowedClientAccount "IIS APPPOOL\[AppPoolName]"
it's the key answer which solves my problem !