Has anyone ridden fenders in a Grand Tour?
Yes, for smaller ones. No, for full mudguards.
Tour de France
Here's Team Katusha using them on the ‘Paris Roubaix stage’ of the Tour de France in 2014, according to Stickybottle:


While mudguards are fitted to most bikes used by racing cyclists for winter training, it’s against the rules to use them competing.
Not only would they hugely slow down a rider, but mudguards and the apparatus that keeps them in place are simply deemed too dangerous for racing. They pose a stabbing hazard in the event of a high speed crash.
However, the top pro team Katusha today took to the start line of stage 5 of the Tour de France, with a wet and muddy day on the pavé in store, with mini mudguards fixed to their bikes.
They are a much smaller and neater structure compared to traditional mudguards.
They are essentially a simple one-piece flap that attaches to the saddle and should keep the riders’ backsides a little drier than normal.
Katusha has been using them since the start of this season but today’s TV exposure on the ‘Paris Roubaix stage’ of the Tour is the first time they’ve been seen on the biggest stage.
The team agreed a sponsorship deal this year with Sencillo Bikes in Spain, which distributes the mudguard flaps.
The company was undoubtedly praying for rain on today’s pavé stage; the perfect conditions to help bring their nifty little product to the attention of the global TV audience.

Giro d'Italia
Here's one of the photos on the sponsor's website from Giro d'Italia 2014:

Vuelta a España
They're still sponsored by them this year, here's their EDICIÓN KATUSHA 2016 for sale, blurbing:

Los guardabarros sencillo actualmente son utilizados por varios equipos y numerosos ciclistas profesionales de ruta en sus entrenamientos y en carreras UCI PRO TOUR como el RGACajaRural en la última edición de la Vuelta a España, por corredores del equipo UCI Pro Tour, KATHUSA en las carreras clásicas belgas, en Milán San Remo, en la Volta a Cataluña y varias más. Además de otros clubes y equipos españoles , belgas y franceses de otras categorías.

UCI rules
The UCI rules (PDF, 1.3.024, p.70) would likely forbid full mudguards as they would constitute a protective screen or fairing for the wheels:

Any device, added or blended into the structure, that is destined to decrease, or which has the effect of decreasing, resistance to air penetration or artificially to accelerate propulsion, such as a protective screen, fuselage form fairing or the like, shall be prohibited.