Crashmo's input is very helpful. I also couldn't change the line weight, very annoying. This feature should be extremely straight forward for users. Developers need improvement? Or make a demo video?
Solution:
1) Preferences -> "Appearance" -> "show line weight" click checkbox
2) Preferences -> "Appearance" -> "Minimum Display Weight", set to 2 (for example, could be other), the default is 0. If this number is still 0, no matter what you do, the line weight is still no change.
But I have another problem, even the line weight changes in plan, but if I sent it to layout for printing, the line weight is still no change again. Any ideas?
Thanks,
Emily