The game isn't won yet. Perhaps the move sequence was decisive, but the player who made it will still have to be careful and make more good moves to win the game. He will have to do more "work" for his checkmate.
There's some speculation here because of the lack of context—all we have is a sentence fragment.
"more work to do" means exactly what it says: the job, assignment, project, etc., is not finished or completed yet.
Perhaps the chess analyst means that "more analysis is needed" or "more alternatives have to be tried or tested" to understand this particular game. I'm afraid you will have to figure that out for yourself.