"All that glitters is not gold" is a common misquotation of a line that appears in Shakespeare's play The Merchant of Venice. The original version is actually All that glisters is not gold. Shakespeare was repeating an idea that is also found in Chaucer's Canterbury Tales, where it is expressed in the "Canon's Yeoman's Tale" as But all thing which that shineth as the gold/ Ne is no gold, as I have herd it told.
Since it is an actual quotation, no change is correct. The change you propose ("All what glitters...") has the added disadvantage of being ungrammatical and unnatural.