Thanks for the replies. This is what I got from GTAC:
You have to manually filled out the Callout attribute in the component properties for this to work.
(1) If there isn't already a Parts List on the drawing, then create a new parts list.
If there is a parts list, delete it and recreate a new one.
(2) Set up the Assembly Navigator(ANT) to show column called "Callout"
(3) Edit the Parts List column named "PC NO" by MB3 over the highlighted column and choose Style.
(4) Under the Columns tab, click on the button for Attribute Name, and choose "CALLOUT" from the attribute listing. Now the Default Text box should changed to <W$=@CALLOUT>.
(5) OK the Style dialog.
(6) Now select the component(s) from ANT to change the Callout attribute value to desired value.
If there are duplicate components, then the attribue value for Callout should be changed to the same new value for all duplicate components.
(7) The Parts List now should reflect the new callout value. And this parts list is now ready to Auto Balloon.
NX 8.5.2.3