No, you keep your progress. There's also no penalty for joining a new covenant without leaving your previous one at Shalquoir.
A covenant with the End of the Cycle will pretty much spell the end of the game unless you are very good at coming back from the brink of destruction. Despite all its might, defeating the entity is not impossible.
Ascension perks. The Shroud. Player crisis. Available only with the Utopia DLC enabled. The Shroud is an immaterial realm of pure psionic energy outside of the physical universe.
Covenants are permanent bonuses, and you can't switch which Greater Power you have a covenant with. The end of the cycle is also the rarest covenant, it only has a 2% chance to show up.
The patron can be chosen, except for the End of the Cycle. The option to form a Covenant may randomly appear as part of Shroud visions. The patron is chosen based on its preferences.
It is possible to apply to the Lands Chamber of the Upper Tribunal to have a restrictive covenant “discharged or modified”, as the statute puts it, in order to get the covenant removed or changed so that development can take place or the use of the land can be changed.
Before players can enter the Shroud, they'll first need to complete the Breach the Shroud Tradition in the Psionic Ascension Path. This isn't an easy Stellaris Tradition to reach, as it in turn requires players to have completed the Mind Over Matter Ascension Perk or Psionic Theory Technology.