I am new to the game too, but there will be no penalty. All the main story quests just rely on your character being a certain level no matter what the role is. So you could be a level 15 Rogue and still proceed when that level is needed for the next quest.

The only thing you miss out on is the individual stories that go with each role or class. So a marauder has quests that delve in to a certain storyline vs rogues having a different side storyline, but they don't impact your overall main story other than fleshing out some side stories in eorzea.