This isn't a realistic conversation, it's just an illustration of usage. A: "You shouldn't park there. That space is only for handicapped people." B: "They'll never check at this time of night." A: "I don't think it's a good idea." Afterwards: B "What's that under my windshield wiper? I just got a $100 parking ticket. Wow, that's really a stiff penalty. I can't afford that. Would you mind splitting the cost with me?" "I told you not to do park there. Why should I pay a penalty for your mistake?"

A penalty is some form of punishment so the speaker is saying why should I be punished for your mistakes. In some cases a penalty may be financial so it is even more appropriate to say 'pay a penalty' Hope this helps Bob