TeX's built-in \penalty command simply appends to the
current list, no matter what kind of list it is. You might intend a
particular penalty to always be a "vertical" penalty, however, i.e.,
appended to a vertical list. Therefore, Eplain provides
\vpenalty
and \hpenalty
which first leave the other mode and then do \penalty.
More precisely, \vpenalty inserts \par if the current
mode is horizontal, and \hpenalty inserts \leavevmode if
the current mode is vertical. (Thus, \vpenalty cannot be used in
math mode.)