Niall,
Actually, Gutty was an airborne game, Featherball was a ground game. The various hazards you mentioned were to force people to start hitting proper shots. So, yes, the first true penal elements designed into the routing, and it was in Scotland, but more likely 1870s, 1880s at the latest. Bunkers of course were being created and changing locations much earlier as hazards, but typically not in a penal manner as the lesser skilled could always play around them. Burns might have been the first penal hazard, but it is unclear as to when they were first used, at least I don't own any reference material that addresses a date. It was undoubtably at TOC.