Is every Dhamma cause of suffering? I have now spent quite sometime understanding what Lord Buddha said. Some of the fundamental things are still not clear to me.

For example Sabbe Dhamma Anatta. Meaning all Dhammas are not me , mine or myself. But why all Dhammas are not me , mine or myself?Because all Dhammas are impermanent , changeable and cause of suffering.
Therefore can I conclude that all Dhammas are ultimately cause of suffering?

If that is true then why should I adopt the three jewels : Buddha , Dhamma and Sangha?
Is every Dhamma cause of suffering?

No: as mentioned in this answer, nibanna is classified as a dhamma (and as anatta) but not a cause of suffering.

The same source says,


  sabbe saṅkhārā dukkhā — "all saṅkhāras are unsatisfactory"


It's sankharas that are classified as unsatisfactory (and impermanent).



But the term dhamma is broad and can be used (in different contexts) to mean a lot of different things -- for example, Jayarava's essay on The Simile of the Raft identifies some of the different possible meanings of dhamma.