Some update on this issue, I had last night under the full Moon 2 hours with the sky opened for test.
With PHD2.6.2 dev 3, it gave an erratic guiding, I uninstalled and reinstalled PHD2.6.1, the problem did not come up then.
I tried both SGP2.5.1.15 and 2.5.2.1, and so far there is no issue with dithering.
So, I suspect this is an issue with PHD2.6.2 or some integration matter with SGP.
I shall stay with SGP 2.5.2.1 and PHD2.6.1 until the root cause is found with PHD2.