How to display all the terms of a vocabulary with a list of the items associated to the term below in a view? In a view in D8, I want to achive something like :

term 1
-item 1
-item2
term 2
-item 3
-item 4
term 3
- item 5
- item 6


Is it possible ? If yes, how ?
It sounds like you are looking for a glossary view.  There are many tutorials on how to do this, ex: https://www.ostraining.com/blog/drupal/glossary/

... after rereading, you may actually be looking to create a view of all terms in that is grouped by parent id. There are different ways to do this. Take a look at:


Grouping Taxonomy terms by their parents
https://www.konordo.com/blog/show-taxonomy-terms-grouped-taxonomy-parent


These talk about D7, but the same should work in D8