No, you don't need to change all of them. Only the broken one(s).

Front ones sometimes develop a break in the cable because they flex with steering.

Sometimes it's down to the gap between the wheel sensor and the toning ring - in the same way the gap for the crank position sensor is critical to the engine running - if the sensor's not close enough to the ring, the AC voltage will drop off early relative to the other three when the wheel slows down, causing the anti-lock to kick in.

Be aware that all Sierras with ABS had the same system, so wheel sensors from any ABS Sierra are guaranteed to work - don't get ripped off by the ebay pirates selling "genuine Cosworth" wheel sensors, as there's no such thing! The Mk3 Granada had the same system, and the Escort Cosworth did too, so don't get conned into paying Cosworth tax for a pair of overpriced or shoddy sensors.