After sprouting, the plant seed became dry and finally dead, although every day I changed the water. Why?

Next time try soaking all seeds in potassium permanganate for five minutes just before planting. This will kill off many of the microscopic organisms that cause early plant die off. Mix just enough PP into a small amount of water to turn the water dark purple. You can also use PP to sterilize the soil, but it should be rinsed before using it. Another option is just baking the soil in an oven to 250 F. Keep seedling submerged in pond water (not chlorinated) until it opens leaves on the water. If your area is extremely dry, you may not be able to keep the young plants alive; all lotus originate in humid conditions.