I thought 'sequence' is the target we want to achieve
That's correct.
and it has no gaps. but here 1fdx has so many breaks.
No, all Modeller cares about is which residue(s) in the template(s) are
aligned with each residue in your target sequence. You can add gaps as
necessary to make this easier (for example, if you don't want to use
some residues in your template, you can add gaps to the target rather
than having to edit the PDB file to remove those residues). Gaps only
affect the alignment - the final 3D model doesn't contain any gaps (if
you want "gaps" in the 3D model, add chain breaks - "/" characters - to
the alignment).