Why is it happening?
Because you use su with no username, su default switch to root, so you must type root's password correctly.
Need to execute su or sudo command after login if I have sudo access?
You must use sudo.
Need to prefix sudo with every command?
Yes, you should type sudo before every command which you want to run with root privilege.
What's different between
su is used to become another user, you switch to another user in your login session and do anything with switched user privilege. You must know the switched user's password to
sudo is used to execute a command with another user privilege, specified by policy in
/etc/sudoer file. You don't have to know another user's password to sudo to work. With
sudo, you only have another user privilege in temporary time. After this time expired, you must type your password again to