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.