To switch a Covenant, if you feel like you've made a mistake, you joined the Kyrian's but you're really a Venthyr, you should be able to do that with little to no penalty at all. The penalty comes when you switch back, when you decide, actually no I want to go back to the Kyrains. At that point, fantasy wise, you've betrayed their trust; how can we trust you're not a double agent of the Venthyr if you've left and rejoined, so that's where it will take some effort to get back.
The specific penalty hasn't been determined, but I would imagine there is some period of time, say on the order of week and a half/two weeks, don't hold me on that, but something like that where you have to re-earn the trust that you lost with them. Not impossible, something that you could do, very possible between raid seasons, but something which should be very difficult to do so you won't be incentivized to pick a different covenant for raid one week and Mythic+ the next, or one raid boss and then switch back over for another raid boss.
In this upcoming beta, there's going to be a lot more game play affecting systems which are tied to covenants which come to light. enough that hopefully the choice of a covenant becomes less like choosing an ability in a talent row, which is kind of how it feels now, and instead choosing between two classes - you're not just choosing an ability, but a pair of abilities along with a suite of additional passives and powers which come from Soulbinds you're able to tie to, benefits from your Covenant sanctum, and more. This should be something where still there are going to be cases where a particular Covenant choice might do better on a particular fight or situation in PvP, but we'd like to avoid a situation where "if you'd like to do Mythic+, this is the best Covenant for you, and it's going to be better in all cases in Mythic+, same for raiding, or PvP, and other primary ways of playing the game". There will for sure be cases where you'll say "alright, in this fight which involves single target damage and a lot of movement, yes the Venythr power is best", but in a more spread fight or in a single target fight even where it doesn't involve a lot of movement then maybe you'll do better in this fight, and that gives different players an opportunities to shine based on their covenant choices.
My take on this is that I think it's ok if people who want to play optimally choose their covenant because it's optimal. There are lots of reasons to choose a covenant: for RP reasons, cosmetic reasons, and the power of your character in a particular type of content is one of them.