How can gods be affected by their own power?

Thor's growth as a character in this movie centers around the idea of control and ownership. We are told that Mjolnir was created for Thor as a way to harness and focus his powers, but as soon as he loses it he loses access to his powers because he was dependent on his hammer for his powers. But it isn't as if he cannot use his powers, as is exemplified by managing to harness them during his battle with Hulk. But in that case, his emotional state allowed him to use his powers and he didn't actually figure out how to use them until his fight with Hela at the end of the movie.

It is entirely possible that he could have used his powers to fry the device and escape, but because he did not understand how to use his power he could not do it. It's not until he comes to the realization that his powers and Asgard are the same that he understands how to harness them: it isn't the things you have that give you power, it is your own ability. Thor does not need Mjolnir to use his power, just as the people of Asgard do not need a city to be The People of Asgard.

In a way, the stun device was purely symbolic of Thor's impotence.

Thor is the God of Thunder, not of electricity.

His powers are not the command of electricity, but the command of thunder/lightning.

Just because he has some control over lightning (i.e commanding it not to transfer the electrical properties that cause harm to his person, albeit likely subconsciously), this does not mean his power has the transitive property of all electricity.

Just because someone can command, say a Dog; this doesn't mean they have mastery of ALL dogs.

While the device attached to Thor's neck might sound electric, it actually behaves in a manner much more similar to the paralysing device used by Obadiah Stane in the first Iron Man film.

It's quite likely that such a device might not paralyse a physically superior being such as an Asgardian or an Ice Giant, but could cause them enough pain to pass out.

Either way, there's really no evidence that the device just causes an electric shock anyway.

ViggNash's excellent answer addresses perfectly the case of Thor's powers.

As for Hela, we don't know the exact extent of her powers. She is called the Goddess of Death, but she is not depicted as a ruler of the Underworld who can decide who can live and who has to die. All we know is that she is a ruthless, merciless, relentless killer. Goddess of Death may be more a title than a real power over death.

Anyway, it is well-known that, in comics, death is not a permanent thing. And this applies to the MCU, as the resurrection of Agent Coulson showed us. Since in our non-comic world, death is the universal constant that all living forms must eventually face, we can infer that nothing is absolute in comics: nothing is unkillable, nothing is unbreakable, no knowledge is unreachable,...

In our specific case, note that Hela is killed by Surtur, whose function is precisely Ragnarok, the destruction of Asgard. It is not far-reached to assume that Surtur has the power to destroy the Asgardians as well.