@Handian Sudianto Please see my answer to your question below
Current UDR list only have route to the internet (0.0.0.0/0) , i think when i associate subnet to this UDR will make traffic to on-prem passing thru internet. 
Should i make another route to on-prem and set next hop type to Virtual Network Gateway?

A: No, traffic for on-prem will not be sent to the Internet. No, you should not need to create another route to on-prem.
The reason is, you have a Virtual Network Gateway configured for Site-to-Site to on-prem 10.0.0.0/8, correct? Because of this, there should already be a route for 10.0.0.0/8 with next hop virtual network gateway. The route to virtual network gateway will still be there and effective after you associate your UDR route for 0.0.0.0/0 to Azure Firewall.
I made screenshot to illustrate. After applying your Default_Route_To_Firewall route table to the subnet, the effective routes on the VM's network interface should be similar to below:

You see that after associating the route table with the subnet, the effective route on the VM still has the virtual network gateway route for 10.0.0.0/8 and it is still Active. In the above example traffic to on-prem 10.0.0.0/8 addresses will still flow through the gateway while Internet traffic will flow to firewall's private IP of 172.16.0.68.
What I recommend you do is test using a different subnet first. For example, create a new subnet in same vnet called "TestSubnet", create a small test vm in this subnet, associate your route table with TestSubnet, Navigate to this test vm in portal -- Networking blade -- click on the network interface -- Help -- Effective routes. Verify that it still shows route to on-prem in addition to the new 0.0.0.0/0 route. Note that when you make a change to associated routes it may take a minute or more for it to take effect.
After verifying the effective routes appear correct, connect to the VM from one of your other VMs using RDP, and verify that you are still able to connect to on-prem resources from the VM.
Once you have success with your test VM you can associate your route table with the subnet for your other VMs and test those as well.
If any of the above is unclear, please add a comment below.
Thanks.