I did not notice that Joomla did not redirect Non-SEF to SEF URLs. After I searched today, I came across a plugin NSTS - Non-SEF to SEF.
It works well, but only for Joomla. It can not handle other components like Virtuemart.
Does anyone have any idea of a better plug-in that can also work with Virtuemart? But without heavy components such as sh404SEF and similar.
Thanks!
NSTS should work with all components.