I rewrite the script as this:

USE master

GRANT VIEW SERVER STATE TO [mydomain\sys$swind]

GRANT VIEW ANY DEFINITION TO [mydomain\sys$swind]

GRANT EXECUTE ON xp_readerrorlog TO [mydomain\sys$swind]

EXECUTE sp_MSforeachdb 'USE [?]; CREATE USER [mydomain\sys$swind] FOR LOGIN [mydomain\sys$swind]'

USE msdb

EXEC sp_addrolemember N'db_datareader', [mydomain\sys$swind]

It works great.

And by replacing sp_adduser with create user, there is no schema created for the user for all the databases except one - master, why in master database the user still own a schema that is the same name as the login name?

Thanks