You DON'T have to complete all unless they unlock a feature. Better to save some up for later on , trust me on this one. When a quest says to complete a technology you can go back and do past ones that will be super easy by then
THIS!
Three things that you do not want to do are:
1) Advance ages before you have a significant amount of goods from that age (thousands at a minimum)
2) Finish every item on the tech tree before moving forward. There will be quests later that require you to do research, so you want some unfinished items to go back and use later.
3) Go too far ahead on the continent map. Patience is a virtue here. Again, there will be quests later that depend on doing a specific province at a specific time, and you don't want to have already completed it when the opportunity comes around. [See: Future era units]