Ok, take this with a grain of salt cause it's a recap of the things i read/heard around and i have no direct confirmation.
You don't have "penalties" to leave a covenant. You also still keep all your progression if you decide to get back later on. Also, joining a new one should be seamless and totally transparent. However, returning to an old one is not "easy", there's a chain quest to take to "regain trust" with them (as you left for another party). It's not ballistic nor complicated, but takes some effort and it's not just "talk to NPC to join covenant".
Basically, they're leaving people the possibility to try new things because you don't know everything beforehand. However it's not something you can change daily or per boss fight. Plus, everything you've worked on for a covenant stays there so you're starting from 0 and while you're not losing anything, you're spreading your "farming efforts" in multiple places.