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There is no penalty for research. The higher the tech, the more it costs. If you can afford it, you may research it.
I am usually far below the maximum time. Meaning: It takes less than it could take at maximum.
In my current game, I started in 1914 as Germany, reached 1953 now and I am researching stuff up to 2005.
Result: While other countries, that didn't put that much money into research, had still Mk 1 up to Mk 3 tanks (WW1 tanks) (GB and USA in this case) when I attacked them and rolled them over with Leopard 2A5's ;-)
As GIJoe597 said: The higher the tech, the more it costs - but the more advantages due superior/advanced tech you get. For example, higher power output from Solar-Energy etc.
1. Spending to much on research without growing your economy can easily cripple it. I tend to limit research spendings to max 10% of my income so there is enough money to do other stuff with
2. There are some main tech paths (for example computer techs in 1936) in the tech tree and bottleneck techs locking several tech branches behind them. You will want to watch out for these or you may end up in a situation you have some unused research slots, because there are no more techs or designs left for the moment
Yes.