Do all transmembrane proteins contain channels or tunnels?
Transmembrane proteins don't all have tunnels.


  Do all the transmembrane proteins have to have channel or tunnel for transport of materials?


Calling transmembrane proteins tunnel proteins is very misleading. There are a wide range of functions carried out by transmembrane proteins. I'd say the most famous example that don't include a tunnel are the GPCRs that have 7 transmembrane segments. These are used for passing information across a membrane by acting as a receptor to a molecule on one side causing a conformational change which causes an action on the other side of the membrane. 

How many transmembrane proteins do have tunnels?

Here is a link to all the GO annotation held by UniProt on transmembrane proteins. There are 10s of millions of results including, but certainly not limited to tunnels and channels.

In the human proteome, there are 831 transmembrane proteins tagged with G-PCR (7TM proteins without a tunnel). 
The "Transport" keyword, which probably has some sort of tunnel, is present in 1106 transmembrane proteins. 
In total there are around 5200 human transmembrane proteins in the human proteome.