"Gone to all this trouble" - "all that trouble". It means done so much, made so much effort. Say a birthday party was arranged, there were a lot of decorations and the whole family was waiting in a restaurant for you, you might say, "You shouldn't have gone to all this trouble!".

"You shouldn't have gone all these trouble."..is wrong. "You shouldn't have gone TO all THIS trouble."

You shouldn't have gone TO all THIS trouble. I changed two words to make your question correct. We say "Don't go to any trouble" when you are visiting somebody, and they are working hard to clean the house, cooking a lot of fancy food, trying to make everything perfect. They are doing too much work, and you don't want them to work so hard just to entertain you, or make you feel welcomed. Since trouble is not a countable noun, we don't say "these troubles". It is a singular word, so we say "all this trouble".

It's a polite expression, saying "you should not have gone to all this bother". In Chinese, it's the same as “我太麻烦你”。