"Nephe Shaddoll Fusion" can be equipped to a face-up "Shaddoll" monster your opponent controls. In this case, since you do not control the equipped monsters, you cannot Fusion Summon a monster using this effect. You must send Fusion Materials from your hand or your side of the field to the Graveyard, including the equipped monster.
While "Macro Cosmos" is active, you can still Fusion Summon using the effect of "Nephe Shaddoll Fusion". (In this case, the Fusion Materials are banished instead of being sent to the Graveyard, but the Fusion Summon is performed as usual.)