In episode 19, Natsu, Gray, Happy and Lucie should have been punished because they "stole" an S-Rank quest. However, the master wasn't there, so they wanted to take another quest. When they read the quest content, it swapped their bodies/minds. The master then entered and tried to help them, and the episode ends.
Episode 20 starts in a forest where Natsu and Happy are fishing, so the "ending" of Episode 19 is missing.
Did I watch a wrong "source" or is this part really missing?
Episode 19 (filler episode) and episode 20 (omake episode) are non-canonical from a continuity perspective. In the manga, when they return to Magnolia, Erza reminds them about that punishment (just like in the anime), but then they see their guild building destroyed. This begins the next Phantom Lord arc, and thus the punishment matter gets dropped naturally. Since the punishment was never shown in canon, they probably decided to skip it in the anime too.
In any case, that punishment is most likely something silly, such as the one in episode 75 later.
We never actually find out what "THAT" is. All we learn is that it is horrifying enough to make Natsu scream in terror and Gray cry/breakdown at the thought of it.
My personal opinion is that knowing Makarov and how much he loves his "children" I doubt that it's something painful; rather my guess is that it's probably something intensely humiliating.
There was another time when a punishment was used. When the entire guild was racing, the last four people had the punishment of dressing up in women clothes, and they had their pictures taken for the sorcerers weekly magazine.
