Was a scene where Kazuma gets fed up with the party and trades parties with Dust for a bit ever Animated? I recently did a rewatch of KonoSuba with friends, but we remember a scene that doesn't seem to exist in the anime after Kazuma and friends fight the Winter Shogun:
Kazuma gets fed up with the party and trades parties with Dust for a bit.
We remember seeing this at some point but haven't been able to locate it. When I looked it up, it appears to happen in the Light Novel but none of us have read it. The Fandom wiki mentions it was skipped in the anime as well.
Was this ever animated?
No, this scene has never been animated.
You can confirm this by going through the episode summaries for Seasons 1 and 2 and the OVAs that followed each of them on Wikipedia. The movie Crimson Legend doesn't cover this scene either — again, you can confirm with the plot summary on Wikipedia (or note that the movie covers much later events, anyway).
In the light novel, this event (in Volume 2, Chapter 1, Part 7) is the one which introduces Dust's team in detail to us. The anime skips this scene in favour of just dropping a quick line in episode 9  of Season 1, God's Blessings On This Wonderful Shop. While strolling through the streets of Axel, Kazuma comes across a couple of adventurers loitering suspiciously around an alley, and Kazuma('s voice actor) narrates:

These guys are Keith and Dust, two adventurers I got to know recently.