For the specific question "Will pClass be garbage collected": the event subscription has no effect on the collection of pClass (as the publisher).
For GC in general (in particular, the target): it depends whether MyFunction is static or instance-based.
A delegate (such as an event subscription) to an instance method includes a reference to the instance. So yes, an event subscription will prevent GC. However, as soon as the object publishing the event (pClass above) is eligible for collection, this ceases to be a problem.
Note that this is one-way; i.e. if we have:
publisher.SomeEvent += target.SomeHandler;
then "publisher" will keep "target" alive, but "target" will not keep "publisher" alive.
So no: if pClass is going to be collected anyway, there is no need to unsubscribe the listeners. However, if pClass was long-lived (longer than the instance with MyFunction), then pClass could keep that instance alive, so it would be necessary to unsubscribe if you want the target to be collected.
Static events, however, for this reason, are very dangerous when used with instance-based handlers.