The penalty for filing a tax return late is 5% per month of the amount you owe, for the first 5 months, and 0.5% per month after that. In addition, there is interest charged on the unpaid balance, at a variable rate which is currently 8% APR (about 0.75% per month), with the exception that late payment interest is not charged in any month where you are already being charged a 5% late filing penalty.
If you don't owe tax, there is no penalty for filing late.
If you really can't get a 1099-R, you can file with a substitute 1099-R that reports the payments and tax withholding from your own financial records. However, it sounds like to just need to call Prudential and get them to mail you a copy.
