Thanks for the reply. In fact, my screen was PIN-locked after I played with VPN connection too...
The instructions given by tonykm are not applicable, as there are NO Device administrator displayed in my device. However, the solution was easier that I thought:
Screen Security> Screen Lock> NONE (which will eliminate all kinds of screen locks)
And then, I re-set the "Swipe" lock was initially there as desired.
Thanks!