Problem solved!

With the help of Wolfram support team, I figured out how to get the conda work in MMA in windows.

1) conda's installation and library path is not in Mathematica's default Path. So we need to manually add the path by:

SetEnvironment[
 "PATH" -> Environment["PATH"] <> ";" <> "C:\\Users\\<user>\\AppData\\Local\\Continuum\\anaconda3"] (*for python executable*)

SetEnvironment[
 "PATH" -> Environment["PATH"] <> ";" <> "C:\\Users\\<user>\\AppData\\Local\\Continuum\\anaconda3\\Library\\bin"] (*for pyzmq library*)

just replace the path above with your own conda path.

2) (re-)Register the conda in MMA by:

RegisterExternalEvaluator["Python", "C:\\Users\\<username>\\AppData\\Local\\Continuum\\anaconda3\\python.exe"]

again replace the path above with your own conda path.

3) Now the conda should work in Mathematica. You can check it by FindExternalEvaluators["Python"] .