tax_query: What to pass when I want to have all terms?

Simply omit (or not add) tax_query part of arguments.

$args = array(
    'post_type' => 'wr_event',
    'posts_per_page' => -1,
    'meta_key' => 'event_date',
    'orderby' => 'meta_value_num',
    'order' => $order,
    'meta_value' => $yesterday,
    'meta_compare' => $compare,
);

if ( ! is_null($cat) )
  $args['tax_query'] =array(
            array(
                'taxonomy'  => 'event_type',
                'field'     => 'slug',
                'terms'     => $cat,
                'operator'  => 'IN'
                ),
           );