I exchanged XLM to BTC successfully ,i go to History tab to check, it shows detail correctly but when i go to https://stellarchain.io/ to check transaction's status, i see my XLM address sent to a...

No , it is not an issue. when user make a transaction , history tab will record all those activities. In this case, the fund is sent from XLM to Address of Changelly (third party) and then Changelly will distribute that fund to your BTC address. Please wait few minute, refresh and check BTC's balance again, you will see your BTC's balance is updated