When leaving there's a cooldown between pledges (I don't remember the exact number, but may be like 24hrs+ or so) and no cost at all.Players can change pledges at any time, but there is a cost, usually credits i believe
When leaving/defecting, former power NPC hunters may come after you (they'll look to kill you). NPC ships and days of "being hunted" depends on your rank at defection time.
Moreover if you defect to another power and you have merits outstanding, I think that up to half of the amount will be transferred to the new power (but you'll start from rank 1 anyway).