The Penalty is the blood of Vongola Primo that can upgrade the Vongola Rings, similar to the way Sin upgrades the Shimon Rings.
Unknown to the Vongola, the Penalty was kept by Talbot.
It was said by Talbot that if the Vongola Rings, together with the Box Weapons and the Penalty, can create a power that is able to match the Shimon Rings' power.