I think they are both grammatically correct. Substitute 'verify' in place of "make sure" and it's totally acceptable. They can mean different things. I have heard both in common usage.
I want to make sure if he is coming to the party. This means you want to check to see if he is going or not going. 'Make sure' or be certain of the answer, one way or another.
I want to make sure that he is coming to the party. A. This means that you are going to do things to make him come.
B. You heard that he might be coming but you want to make sure (verify) that indeed he is coming.
"Make sure he is coming." Can sound like a threat (they are going to enforce him to come) or just a verify he is coming.
I want to make sure that there is no school tomorrow. (Verify that there is no school). This person sounds more confident that there is no school tomorrow.
I want to make sure if there is school tomorrow. This person sounds more doubtful.