I raise the question again.
During installation, I am asked:

Directory does not contain SHA256.sig. Continue without verification? [no]

I have to enter yes to let it proceed:

Installing bsd
Installing bsd.rd
Installing base55.tgz
...

I have downloaded CD image for i386 and burned it and booted it
I think I shall not encounter such a question
Why SHA256.sig isn't on CD?

Thanks to all those who reply (replied)!!

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