Does the Valkyrie have to win to earn extra glory?
The player controlling Valkyrie will gain points for all destroyed figures in that battle, even if it is destroyed.
From the official FAQ on CMON's site:

Q. Does the Valkyrie (gain 2 Glory per enemy figure destroyed) get glory for destroyed enemy units if she is destroyed in the course of a battle?
A. Yes, with the Valkyrie you get Glory for all figures destroyed from the Call to Battle to the battle’s Resolution, even if she is destroyed at any point during the battle.