In Thor: Ragnarok, Hela wants to begin her conquest of all the realms, but she is thwarted by the fact that the Bifrost is closed.
Earlier in the film, we see her comment on the Tesseract, so clearly she understands what it is.
So why doesn't she just use the Space Stone, instead of trying to get back the Bifrost?
Using the Infinity Stones without great care...doesn't have the best track record. Remember Red Skull? He messed with the Tesseract and got sent to Voromir, there to be enslaved to the Soul Stone for who knows how long. For that matter, remember when Iron Man took the Mind Stone home and ended up with a robot army?
Hela is powerful. But even Thanos, whose power, we are told in Agentes da SHIELD, is unrivaled, needed a fancy glove to properly use the Stones. If Hela tried to use it without proper preparation, she might have ended up in a worse place than Asgard, with no Bifrost.
Most pertinent, Loki wasn't even able to use the Tesseract to open a portal without the help of Eric Selvig's research. Even if there were no risk to attempting to use it, I don't think Hela could easily have gotten it to work.
As other's have answered, perhaps she doesn't have the right tools to utilize the Tesseract. At the end of The Avengers we see Thor and Loki use the Tesseract return to Asgard, and the Tesseract is in a transparent cylinder with handles for them to hold.
In order to use the space stone to transport her and her entire army on a conquest of the Nine Realms, perhaps she would need to build something else (other than the Tesseract) to utilize the space-stone's powers.
Building this might require time or resources that she doesn't have at hand in Asgard.
The fact that the sword has been stolen shows demonstrates to her that she has more than a bit of an insurrection to deal with at home in Asgard. Perhaps she feels she needs (or just wants) to put that insurrection down before going out to conquer.
