Your setup? Anyway high pitch can due to alot of problems :
Tweeter : using cheap ones, HU treble set too high, use wrong rating capacitors(DIY), amp HPF set too high
Speakers : HU treble set too high, use wrong rating capacitors, amp HPF set too high.

Maybe I'm wrong, care to enlight us? Anyway I do came across using too high uf value of capacitor where it cut off all the bass and cause the high pitch on the speakers. Or high pitch not same as sound too sharp? Maybe I get it wrong.

So you are meaning that every capacitors have the same cut off point for lowering the freq?

What will happen when we power the tweeter from HU output direct? Will the HU knows that it is powering a tweeter? No right, it will power the tweeter like it power speakers, as HU is built for this purpose. If we don't filter the lower freq, at the end of day the tweeter will spoilt by the lower freq(bass) right? So in order to protect the tweeter a capacitor is install to it, is it right also? When a wrong rating capacitor is used when it filter out all the bass then it will be sound very sharp(high pitch) right? As tweeter can take some lower freq to have a better sound.

Seems like you are also not that understand. Now you are trying to say that a cap can choose to filter unwanted low freq? Are you meaning that if a tweeter got type A(wanted) low freq and type B(unwanted), after put a cap it will only left type A low freq. I only know that if there are some bass on the tweeter, after a cap is added, the bass will be gone or still there when diff value cap is used. On the RF tweeter that I used before, because of using a wrong value(forgot already the value) the pitch is really high until the ears can feel the pain.

On the HPF settings, if using a 2,3way coaxial speakers, if set at HPF with crossover freq control at 400hz, what will happen? Anyway I tested it with my ayam brand amp(Lightning Audio B300.4)

A good idea, I do used resistor to control the power input last time but I found it very hard to control because have to test few ratings. Futher more I do came across that some people in forum will say it will make the HU more hotter. I do believe them initially but later think back again it is not true as the HU's output power is not constant(following HU's volume) if put a resistor before the tweeter it will not heat up the HU.
Anyway I found a better way to control the power to tweeter, put a bulb before the tweeter(on some case before a capacitor)