Well, that was an episode. I believe absolutely everything in that episode is anime-original. I am racking my brain to think if any of that appeared in any of the other forms of media for this series (WN, LN, manga, mobile game), but I don't think so. We saw almost all the female characters at some point in this episode, even including recent additions like Mary, Elizabeth, and Yukime. The only important female characters that weren't there that I can think of would be Sherry, Rose, Iris, and Annerose.

Probably my favorite part of the episode was actually Eta's video reel of young Cid and the girls where she was doing the voices. I also really liked Lambda's shadow puppet play depicting the legend of the dragon's tears. The final thing I will mention is that this episode finally pulled into the canon the outfits the girls wear in the OP from season 1. At the time, the director talked about how the OP animation was just meant to be fun and a kind of hypothetical of what the Shades would be like as magical girls. The mobile game actually expanded that idea and had an event where there is an Alpha and Zeta from a parallel universe that are magical girls.

Anyway, I will stop rambling. It was a fun episode. It is similar to the mid-season episode (10 iirc) from last season which was mostly anime-original and heavy on fan service.

Edit: Saw elsewhere that though this is fully anime-original, the script was written by the original author, Daisuke Aizawa.