@statox, thank you! I've set two autocommands:
autocmd BufEnter *.tex set conceallevel=1
autocmd BufEnter *.tex set concealcursor=n
I've found this concealcursor feature, it seems useful to remove concealment of one line only when editing it. So I don't need set conceallevel=0.
I also removed let g:tex_conceal = '', looks like it doesn't work.
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