After I faced the following error during sd2psx dongle test which I have never experienced before.
I happened to find the following article.
https://www.aussiearcade.com/topic/75176-namco-system-246256-help-cobra-the-arcade/
Even my case did not allow to skip the error message to proceed.
This error is also happening with legit combination (hdd, dongle) since the sd2psx dongle test.
Just in case, cobra has two versions.
And I must have tested inconsistent versions of hdd and dongle.
So I was doubting my hdd is locked caused by inconsistent version combination.