I got another computer(Win10) with wireshark for testing. I found that it can receive all arp packets from STM32 and also connect to the server setup on this PC successfully.
Moreover, I built a TCP server on the NXP IMX6 development board(Linux), and the STM32 client can also connect it normally.
In short, the problem blamed on the previous computer. What the strange is that the firewall of the previous computer was indeed turned off by me, but I never received the first arp packet from STM32.
At last, Thank you for your patience to reply. @hs2 @RAc @htibosch