Iam new in Mac and I tried to import photos to the Photo app of Mac. However, the app seems always use jpeg file as default when I select the photo to editor such as Affinity. I want to edit raw file directly. Do I need to set up something or it just how Mac work?

After importing raw files there should be an indicator on the fotos („JPEG+RAW“). In the right click menu you can select the raw or jpeg for editing

Why do you need to use a Mac app? Can't you just open Affinity and then open the file directly? I'm not a Mac user so don't know, seems cumbersome if you need to use an app to get to the files. 

Because I followed the instruction of Apple about how to import photos from camera. However, your suggestion provides an alternative.

I'd be interested to know the result.

Make sure your RAW file format works with macOS. Apple backs up most popular RAW formats, but you might have to update macOS or grab specific camera profiles if you’re using a newer camera.