No they don't I have one myself and he is loing his feathers but they're not all gone he still has loads of feathers left hes just a bit scrawny
Do Male Peacocks Lose All Their Feathers When They Shed?
Birds do not shed all feathers at once as to protect from cold and to repel water. Males do shed tail feathers at the end of the season and regrow them the next year. en.wikipedia.org
news.nationalgeographic.com
news.nationalgeographic.com