Then I decide to take the cross slide off and see what's wrong.
And this is...
The gib was a bit higher than the dovetail. That means, the cross slide cannot sit down properly on the saddle.
What I am going to do is file the gib down...Now, the cross slide can sit down properly on the saddle, but when I insert the gib deeper into the space, rocking movement come back again.
When I carefully look at the gib and the dovetail, I find that, the gib is more likely to be less than 55 degree of the dovetail.
Put it deeper into the taper space will press it upward and push up the cross slide again.
Finally, the rocking motion become unseeable.
Of course, I will need to check the cross slide by level or DTI when higher accuracy is needed.