Ok, I find that the problem turns out to be that paraview just won’t read .nrrd files as temporal(maybe by default, that requires further exploring). However, we can still have our data animated anyway by saving the .nrrd file as .vtk(a legacy file format in paraview). Simply read one and click File->save data as .vtk, then the nrrd becomes vtk. Reload vtk files and play the animation.
When you change representation to volume, the object appears to be almost transparent, which depends on dataset and could be improved by editing the colormap. And make sure all files in one series have same dimensions(e.g. the third nrrd file you just uploaded has only one Z slices thus could not be properly animated).