Those who won all the Tests in which they captained:

The record is 4, shared by A Bacher, current player Babar Azam and Lord Hawke of long ago. Three more have two, and the rest were lucky in their only opportunity (e.g. Ravi Shastri and Mashrafe Mortaza). In the latter case Shakib Al Hasan captained for most of the match.
For players who saw victory in all their Tests, the record is 10 by Eldine Baptiste.
Those who lost all the Tests in which they captained:

This is incomplete, but does include all those who captained in 2 or more Tests.
It is perhaps not surprising that the first two positions are by earlier captains of Bangladesh. The 3rd place goes to an Indian captain, who is currently the oldest living Indian Test player. There is also WTS Porterfield who has captained Ireland in all their three Tests. From recent times there is Mohammad Rizwan.
Some well-known players are here, such as AJ Lamb, AR Morris and RS Madugalle.
Players who lost all their Tests are led by Alok Kapali (17).
Those who drew all the Tests in which they captained:

The record is held by the unlikely K Srikkanth. He and Majid Khan were known to be aggressive batsmen.
There are a number of well-known players here including DL Murray, G Kirsten, GA Headley, IDS Smith, RR Lindwall and TW Graveney. India’s HR Adhikari gets credit here as he drew the Test after 3 successive heavy losses. He was the 4th Indian captain in that 5-Test series.
Players who drew all their Tests are CV Gadkari and Shafiq Ahmed (6 each).