Variation of chess where winner has to capture all pieces? Is there any variation of chess where the winner has to take all of the opponents pieces rather than just force the capture of one of them ?

I guess sacrifices wouldn't work well in this variation of chess.
First of all, the historical rules of Shatranj include the victory condition "bare King", i.e., capturing all pieces except the King is a victory, except that the other player can capture the last piece of the first player immediately after the loss of his last piece (then, the game is drawn).

As a modern variant, there is Extinction Chess (aka Survival of the Species) where the extinction of one piece type (Knight, Bishop etc.) wins the game.