My master denies himself because orgasm denial is one of the few punishments that really works on me (that and writing essays, and he often uses them together). Of course, dissapointing him by itself is terrible, but sometimes there needs to be a real consequence on top of that.
Like Sir Russel said, punishment is always hard for Dom and sub. It's sad when the sub isn't able to please her Dom.
Fallenstar, maybe you should share your anxieties about the amount of time it will take you to learn. Maybe he is unaware or doesn't think it will be a problem.