Slitherine

Is there some sort of penalty for not keeping a garrision in a capital (e.g., Berlin)? What about captured cities (e.g., Warsaw, and others in Poland)??

No, but partisans can now spawn in cities (including conquered countries). So you risk losing those cities if you fail to garrison them. The choice is yours. The probability of partisans spawning in conquered countries is 50% of the probability of partisans spawning in active countries. Only the most important countries (France, Poland, Greece, Yugoslavia etc.) will have partisans spawning in the countries after they're conquered. Smaller countries like Norway, Denmark, Belgium and Netherlands won't spawn any garrisons after conquest.