I just can’t believe i lost 5 hours trying to solved this issue that was not even documented or mention on stack exchange or any other thread i saw on the subject or maybe i miss one.
This is one of those obscure blender way to do thing that almost no one talk about! I had to dig really deep to find this one all by myself. I am seriously frustrated about that.
Make sure to activate it again if you only want to cut on front faces. Forget about holding z like many thread mention since it is a broken feature, sometime it will work if you only draw a straight cut but once you have a few cuts done it will screw up and cutting in any angle will not work at all.
Also if you want to cut only on selected face or edge just activate Only Selected.
Here the solution to anyone who stumble upon this thread ;
Edit : there is a better solution from John Malcom, the cut through option is indeed working but you have to do thing in the right order to make it work, first click once a little outside your object and you will see the bottom bar options for the knife tool then hit z and you should see the Cut Through option is now to ON finally proceed with cutting and there you have it.