Then why don't we set the focus distance to be the nearest as possible, as this will achieve the maximum depth of field?

Because it won't. If you focus on a point closer than the hyperfocal point, then the depth of field gets shorter. Infinity is no longer in focus.

So the best would be to focus on the object at 0.4m, as it will cover 0.2m to infinity

No, it would cover perhaps 0.2m to 0.8m. The depth of field quickly gets shorter when you focus on a point closer to you.

Then why don't we set the focus distance to be the nearest as possible, as this will achieve the maximum depth of field?

Because it won't. If you focus on a point closer than the hyperfocal point, then the depth of field gets shorter. Infinity is no longer in focus.

So the best would be to focus on the object at 0.4m, as it will cover 0.2m to infinity

No, it would cover 0.3m to 0.6m. The depth of field quickly gets shorter when you focus on a point closer to you.