If a player chooses to have Vexing Devil deal 4 damage to them, but some or all of that damage is prevented or redirected, Vexing Devil will still be sacrificed.
As Vexing Devil's ability resolves, the next opponent in turn order (or, if it's an opponent's turn, that opponent) chooses whether to be dealt 4 damage, then each other opponent in turn order does the same. If any of them do, you sacrifice Vexing Devil.
No player may take actions between the time an opponent chooses to be dealt damage by Vexing Devil and the time you sacrifice Vexing Devil. This means that you can't use a spell or ability (such as Turn to Mist) to stop Vexing Devil from being sacrificed if a player chooses to be dealt damage.