I can just enable work order object under Setup --> Field Service Settings but not all objects that comes with Field Service lightning. We got Service cloud license in our org.Do I still need to request Salesforce to enable field service in sandbox ?
Yes you need to ask Salesforce. Please see the details here https://help.salesforce.com/apex/HTViewSolution?urlname=How-to-activate-install-Field-Service-Lightning&language=en_US
If you have already purchased licenses, just go to your production org and in settings, company info, use the match licenses button. This will make the "enable field service lightning" button appear.