Can effects (like Majesty's Fiend) prevent Exodia from winning?
If all Exodia cards collected, does Exodia's player win?


Yes, the player will win. 

The reason is because Exodia has a win condition not an effect. From its rulings, emphasis mine:


  When you add the fifth piece to your hand and declare that you win the Duel, you are using a victory condition. You are not activating a monster's effect, so "Divine Wrath" and "Gladiator Beast War Chariot" cannot be activated


This means that Majesty's Fiend, who negates effects, won't be able to prevent the player from wining. From its text, emphasis mine:


  Cannot be Special Summoned. Monster effects cannot be activated.