Weaknesses of the Four-Source Theory
Does the JEDP theory tell us that the events in the Torah didn’t happen and that Moses was a historical person?
In principle, no. The four-source theory to which you refer only attributes different passages to different traditions in an attempt to discern how they were woven together to form the narrative and legislation of the Pentateuch. The question of historical fact is not directly the concern of this textual and literary perspective.
It is important to note, however, that this theory is not at all the only one or even the most credible one that explains the first five books of the Old Testament. With computer analysis and rhetorical analysis, many of the vocabulary-based presuppositions of this approach have already been brought into question.
Suffice it to say that this theory can be a useful tool in clarifying certain aspects of the text (as St. John Paul did in his analysis of Genesis in his theology of the body), but this does not mean that it is in all senses reliable or correct. After all, it was the Savior who said, "Moses spoke of me."