Problem solved under the help from author of brookframework.
To use tls, these files should be also put in the same folder of libsagui-3.dll
An error happened with the message:
libsagui-3.dll is not loaded
I tried to build the demo project of brookframework/Examples/Console/FPC
/hellohttpsrv.lpr with Lazarus v3.0 on Win 11 and have libsagui-3.dll (tls_win_amd64 version) in the project folder.
I then download libsagui-3.5.0-windows_amd64.zip and put the libsagui-3.dll without tls in the project folder. The program works!
So, I guess there is something wrong with tls_win_amd64 version dll?