Turn off any auto-fix or dynamic-lighting (ADL) in your camera. These will not be recognized by Adobe raw conversions and will just lead to confusion, like you are seeing, now.
The LCD on the camera is one of the worst ways to judge brightness/exposure of the images.
Check your camera settings; most likely your LCD brightness is set way too high.
The camera shows the embedded JPG from the NEF file on the LCD.
Lightroom will initially show the same preview JPG until it is done reading the raw data and done applying Adobe's presets to the file.
The histogram suggests that the LR display is accurate in that the image is noticeably underexposed. (As noted above, ADL would explain this.)
Yes, I just adjusted my LCD brightness to -5 (previous was 0), LCD image show exact same exposure/brightness with the Lightroom.
Maybe next time and future, I should start shooting with viewing the histogram in the camera rather than only viewing the image.
But like ssprengel mentioned, is ADL in camera affected anything on this situation?
If you are going to be processing raws in non-Nikon software, turn ADL off and leave it off. Same goes for any other setting where the camera is doing something special to the lighting or brightness of the camera JPGs.
ADL will deliberately underexpose the image, then artificially boost the darker areas while leaving the brighter area alone. This compresses more dynamic range into the camera-jpg, but will make non-Nikon software see the real, underexposed image.
LCD brightness to -5 would probably be the wrong option for correcting the problem.
As ssprengel notes, most likely your problem is using Nikon specific exposure settings, like ADL. Since you are not using Nikon software to process your NEF images, you need to turn off all the Nikon specific settings.
I did turn off all the Nikon specific setting in the camera, surely, it works!
Here is the sample! with the brightness 0 in the camera:
But still a little underexposure in the Lightroom compare to the camera, unless I set the brightness of the LCD to -2.
Anyway, thanks for replying and solve my problem!
Just out of curiosity, what profile do you have selected in the "camera calibration" panel?
I have my camera set to the "neutral" Picture Control and always import the NEF files with the "camera neutral" profile in the calibration panel so that the LCD and LR look close to the same to start with.
As you mentioned, I have my camera set to "neutral" too in Picture Control.