I can see Serial Tap under Device Manager USB controllers-> IO Ninja Serial Tap, location Port_#0001.Hub_#0003
When I start a new session for ModBus Analyzer, the port list just empty.

Which session are you running? I mean, Modbus Analyzer is a layer plugin that's attached on top of some other session that provides raw data. I assume, you want to capture data via a Serial Tap -- then you have to start a Serial Tap session first:

74dbce91-d6d3-41fb-9157-87304d718bfc-image.png

Then you can attach Modbus Analyzer on top so that it decodes Modbus commands & replies for you.

The devmon is installed and works properly as in the KB section

devmon is for capturing local traffic generated by other apps on the same PC; it's not required for a Serial Tap.

If you have another application doing Modbus communications, you can start a Serial Monitor session (this plugin uses devmon) and see what this other app sends and receives. Then you can attach a Modbus layer on top to parse raw data and decode Modbus packets.