Hello @congmu and thanks for submitting your use case.
Third party analyzers, like PMD, are not supported in SonarLint (see also in the SonarLint FAQ page), and supporting them is not in our short term roadmap.
As SonarLint focus is on-the-fly analysis, we need to be very careful about performance of the analyzers being run, most of them are not optimized for on-the-fly analysis; this is one of the reasons why we support analyzers like PMD in SonarQube but not in SonarLint.
Nevertheless, we may re-evaluate our position in the future depending, among others, on the interest our community users have for this feature. To this extent, please note there is already a feature request thread for third-party analyzers in SonarLint, feel free to vote for it:
https://community.sonarsource.com/t/support-third-party-analyzers-in-sonarlint/1112/3