I work for a small company which recently switched from a 2 week Saturday - Friday pay period to a 2 week Thursday - Wednesday pay period. The paycheck that covered the time during the conversion was short 2 days. My employer did not carry the 2 days over to the next check, but has informed me that they will roll the days over each pay period and I will not get paid for those 2 days until I leave the company. They told me that this was legal.

The MD Dept of Labor web site has the following:
An employer may not keep any part of the wage of an employee, either by withholding an entire paycheck, part of a paycheck, or by way of incremental wage deductions from several paychecks, as security against some future or contingent occurrence. This practice amounts to a confiscation of pay and is a direct violation of the law requiring timely payment of earned wages. [Note: This section concerns the indefinite holding of wages as security, not the short-term delay of pay for payroll processing purposes].

Does this apply to my situation?

From what you describe that is exactly what the regulation prohibits. You must be paid for all the time worked no less frequently than twice a month, unless you are an exempt employee in which case you may be paid once a month www.dllr.state.md.us/labor/wagepay/wpfrequency.htm. All wages must be paid on time www.dllr.state.md.us/labor/wagepay/wppaidontime.htm and cannot be witheld for any reason. Those two days must be paid when you receive your next paycheck, or you may receive a check for just those two days as the only acceptable alternative.

The exception you mention refers to employers who delay pay by one pay period in order to ensure that adjustments for lost time or OT are current rather than made up on a subsequent check. That is permitted as you are still receiving pay at least twice a month for all hours in the payperiod that you worked.