You can’t be penalized for having alt accounts as it is not against the forum rules. However you can get a negative if you’re caught cheating signature campaigns and contests by participating with both accounts. Also if one of your account is banned, the ban is extended to all accounts connected to that person, should you continue to operate on the forum with other accounts then that would be considered as ban evasion.
Some users create alt account to say something against another member in the reputation board, they do this to avoid backlash on their main account. Theymos is not against this either:
I don't have a problem with alt accounts as long as they're not used for evading bans. If you're hesitant to say something controversial because you don't want it to be associated with your name, please create an alt account and say it.