Should I learn all Major and Minor scales?

Yes that works. The 6th scale degree of every major scale is the relative minor and those two scales use the same key signature. But there are different kinds of minor scale.

The 6th and 7th notes are considered movable. The scale you get from the key signature is natural minor. Compared to a major scale starting on the same note, it has the 3rd, 6th, and 7th notes lowered by a half step.

Harmonic minor raises the 7th note by a half step to return the leading tone to important chords. But this is done using accidentals, the key sig stays the same. When you raise 7, it makes an augmented 2nd between 6 and 7 melodic minor smooths that out by raising 6 a half step as well.

But then allows 6 and 7 to be lowered again when 7 is not functioning as a leading tone. When played as a scale, melodic minor uses high 6 and 7 on the way up, low 6 and 7 on the way down. (high versions written with accidentals) when you write or play scales, you have to know which one you are playing and whether or not to change notes from the key signature.

But when you write key signatures you can just use the same as the relative major.

You'll know all the natural minor scales, yes.

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