Why Mac Disk Utility Run so fast? I run mac disk utility. It finish saying my disk is fine.

C'mon. Windows chkdsk takes a while.

Why it's so fast? Does it actually check stuffs chkdsk check?

And what should I do if I want chkdsk kind of check (longer but more thorough)
The OS X disk utility checks the HFS+ volume header, and its backup header (located in the last block of the disk). If both match, then the rest of the disk is assumed to be consistent. That's along the lines of quick fsck(8) check. Another quick check for journal consistency is performed if you've set up journaling, and if that also checks ok, then the rest is skipped.

You can always run fsck manually, or - http://www.newosxbook.com/ has a tool called HFSleuth which - while directed at programmer/hacker types - can allow you to do a more thorough check.