In game of thrones, if I attacked the opponent with army of several units, and I used all of them to make sure to win. Should I also move all the units to the conquered territory in case of victory or I can choose to leave some units in their position?
Yes, you already moved those troops during the March Orders step.
The rule book indicates that all troops are moved or not moved during the March Order, before combat begins. If you wanted to leave some troops behind, you need to do so before you begin combat and you cannot add those units to your combat strength.
This is further supported by the rules for retreating on page 21. The retreating units are currently in the embattled area, and must retreat back to the area they marched from.