Is there a cost or penalty for switching CSP partners?

Microsoft doesn't generally charge a fee for the partner-of-record change itself. That said, if you're mid-term on an NCE annual subscription, the usual term restrictions (like being unable to cancel early without penalty) still apply regardless of which partner is billing you — switching partners doesn't reset or waive those terms.

Some partners may also have their own contractual terms (like a minimum engagement period) separate from Microsoft's licensing terms, so it's worth reviewing your agreement with your current partner before initiating a switch.