Natsu would probably be very confused and sad at first. He's used to having Lucy around, and her sudden departure would leave a big hole in his daily adventures. He might try to convince her to come back immediately.
Natsu would probably be really excited at first. He'd be all over the place, asking a million questions and making sure Lucy is okay. Happy would be right there with him, trying to help in his own little Exceed way. Erza would be very protective. She'd make sure Lucy follows all the proper precautions and would offer to train her gently so she doesn't lose her fighting edge during pregnancy. Gray might be a bit awkward at first but would soon warm up and offer his support, like helping with any heavy lifting around Lucy's place.
Happy would be sad and confused. He doesn't like to see his friends in trouble. He would fly around trying to gather information from different guild members. He would also stay by Lucy's side, trying to cheer her up. And all of her other friends in Fairy Tail would at least have some doubts about the decision. They know Lucy's character, and her sudden expulsion would make them question whether the guild made the right choice.
The guild as a whole would likely mobilize. Erza would start formulating a strategic plan. She'd consider the strengths and weaknesses of Acnologia and figure out the best way to approach the situation. Gray would also be ready to fight, using his ice - make magic to support the rescue mission. They would all be united in their determination to get Lucy back safely.
The guild would likely be ecstatic. Gray would probably make some snarky comment about Natsu finally growing up, but deep down he'd be happy for his friend. Erza would be all for it and might start planning the wedding immediately, giving orders to everyone in the guild to help out.
Lucy could be extremely excited. After all, finding Igneel is like stumbling upon a legend come to life. She would likely be in awe of his presence. She might immediately think about how this discovery could benefit her friends in the Fairy Tail guild. She could also be very respectful and try to approach Igneel in a friendly manner.
In some fanfictions, Lucy becomes powerful by forging a unique bond with all her spirits simultaneously. This bond enables her to combine their powers in unexpected ways. She could create a powerful shield made of starlight by having her spirits channel their energy through her. This not only protects her but also can be used as an offensive weapon when she reflects the shield's energy towards her enemies.
If Lucy never joined Fairy Tail, the friendships and relationships among the characters would form in a very different way. Also, many of the story arcs might not unfold as they do in the original plot.
Natsu might be really confused and sad at first. He's used to having Lucy around for adventures. But he would probably respect her decision in the end, knowing it's for the baby.