Rise a case to Microsoft and found the root cause.
when you found the error message like below, you need to check the certificate you import to your DP:
reply has no message header marker.
Failed to send status message (80004005)
Error sending status message to management point(s) 'https://xxxxxxxxxxxxx' (port 80) from remote DP. Verify management point(s). (code 0x80004005)
CSMSDPMonitoring::ReportStatusMessage failed; 0x80004005
normally retry to import certificate to your DP will solve the problem.
In my case it's more complicated.
All failure DPs are located on secondary site.
After renew the expired cert, import the new cert to DP, the new certificate information being added to secondary site Database, then replicate to primary site database.
primary site database cannot add the new certificate info to target table.
Microsoft support engineer provides a SQL query to fix the issue.
As we don't know which setting should be correct in different environment, suggest to call MS if you get the same issue.