why my must use plugins (mu-plugins) not work at localhost?

It does not work because that’s not the mu-plugins folder.

The mu-plugins folder goes in the wp-content folder at wp-content/mu-plugins.

Note that mu-plugins is not the same as plugin folder, but rather a place that you can put arbitrary PHP files that are all loaded. Files in subfolders are not loaded, and files are not scanned for plugin headers. E.g. if you copy a plugin folder into wp-content/mu-plugins it will not run as it’s in a sub-folder.

Any One know what shouuld ? (it work fine in live hosting setup)

Possibly because your host uses a non-standard custom location that serves the same purpose. It’s very likely that there is a wp-content/mu-plugins folder on your host that contains host specific code, and that host specific code is then implementing a custom folder so that clients can still use mu-plugins.

For example, sites hosted on WPVIP Go don’t have an mu-plugins folder because their Go platform code lives there. Instead customers use client-mu-plugins for the same purpose, but that wouldn’t work on other hosts. Your host probably does the same.

As a result, when you copy your site to a new host, be that a competing hosting service, or a local hosting environment, it no longer works because it’s a non-standard location.