Gray would be angry and sad at the same time. He was Natsu's rival but also his friend. He might lash out at first, blaming the situation or other people. But then he would turn his anger into a determination to find out what really happened to Natsu and seek justice if there was foul play involved. And he would also be there for Lucy and the other guild members, trying to keep them strong.
Happy would be completely devastated. Natsu was his best friend and partner. He might lose his will to fly or be happy for a while. He would stay close to Natsu's body, not wanting to leave his side. And as time passes, he might become more withdrawn until the other guild members manage to get through to him and make him realize that Natsu would want him to keep living and being happy.
Lucy would be extremely distraught. She and Natsu have a very close bond. She might cry for days and even isolate herself from the rest of the guild at first. Gray would be angry and feel a strong sense of loss. He'd probably blame himself for not being there to help. Erza would be stoic on the outside but inside, she'd be deeply affected. She'd take charge of the situation, making sure Natsu's death was not in vain and that the guild stays strong.
Gray would be shocked at first. He and Natsu have a long - standing rivalry - but also a deep friendship. He might initially be angry that Natsu would just leave like that, but then he would realize how much he'll miss him. He might also feel a sense of loss for the guild as a whole, since Natsu is such an important part of it.
Natsu would be heartbroken. Fairy Tail is like his family. He'd probably go on a solo journey to clear his name and prove his loyalty. Erza would be stoic but deeply hurt. She'd start an investigation within the guild, using her influence and intelligence to uncover the truth. She might also isolate herself a bit while she figures things out.
One possible plot could be that the guild goes into deep mourning. Gray might blame himself, thinking he could have protected Natsu. Lucy could be in a state of shock and disbelief, and she might start writing in her diary about all their adventures, as if reliving the memories to deal with the pain.
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.
Their friends would likely be very excited. Lucy would probably be overjoyed and offer to help with things like baby clothes shopping. Gray might act a bit gruff on the outside but secretly be happy for them. Erza would be very protective, making sure that Lisanna has everything she needs and that the guild is a safe environment for the baby. Happy, Natsu's Exceed friend, would be constantly around, making cute comments about the baby and offering his own unique brand of support.
Lucy would be completely devastated. She and Natsu have a very close bond. She might go into a deep depression, constantly blaming herself for not being able to save him. Gray would be angry at first, feeling like he should have been there to help Natsu. Then he'd be sad and would probably vow to avenge Natsu. Erza would be strong on the outside but inside she'd be broken. She might try to keep Fairy Tail together in Natsu's memory. Happy would be inconsolable, constantly flying around looking for Natsu and refusing to believe he's really gone.
He might initially be shocked and confused. Natsu has always been so loyal to Fairy Tail, so this would be a huge blow to him.
Most of the Fairy Tail members would not take it well. Happy, Natsu's closest friend, would be extremely confused and sad. He'd follow Natsu around, trying to get him to come back to the guild. Makarov, the guild master, would see it as a huge threat to the guild's safety. He might send some of the stronger members to keep an eye on Natsu and Zeref. And the younger members like Wendy would look up to Natsu so much that they'd be very disappointed and scared for him, thinking that he's making a big mistake by joining Zeref.
Natsu would probably be very angry at first. He loves Fairy Tail like a family, so being kicked out would feel like a huge betrayal. He might go on a rampage, shouting and arguing with the guild members who made the decision.