Update :
Just did test and found the rule is currently worked.
But LiteSpeed seems cannot understand if I add "redirect:" option :
####
SecRule REQUEST_URI "/any-folder/.+/filename.\php" "id:20202020,rev:1,severity:2,msg:'must be denied',deny,redirect:
http://www.litespeedtech.com" \
####
So if "redirect:" added, filename.php will be freely accesed.
Swith to Apache will redirecting to the "redirect:" URL as it should be.