I finally fixed this issue via Method 2 in clear Team cache, and Interesting thing, for Method 1: Type settings in the search box, and then select the Settings app from the results. I can't find Settings app, don't know why? or do I need to configure something to enable Settings app?
Also for method 2 to remove file on Mac OS, need stop/quit not only MS Teams, but also MS Outlooks. If only stop MS Teams, some files can't be deleted.