Hi last week at work we found out 1 of my colleague has tested positive with covid-19, so should the whole department go for testing?

That depends: What was exposure like? Were you close to infected person – less than 2 meters? Were you both wearing masks? Did the person appear ill? Sneeze or cough near you? Interaction less than 10 minutes? In a crowded or poorly ventilated room? – (vs being outdoors). Even if answer is “no” to many of these questions, a direct cough or sneeze can get infect you.