Ok, I kinda found the cause. I moved my default Utilities folder out of the Applications folder in MacOS X. And of course the default location of the Installer application which handles the .pkg file is also moved. That probably causes the .pkg file unable to be recognized. The solution:
1. Move back the Utilities folder along with the Installer application to its default location.
2. Manually launch Installer to open the .pkg file even it's shown as a folder.