There is one consequence I can remember from playing a Warlock.
When you talk to Yurgir in the Gauntlet of Shar, if you are a Warlock, it is HEAVILY implied by the narrator that your patron wants you to help him break his deal with Raphael.
IIRC, you are not allowed to threaten him to let you leave, you must either fight him or convince him to let you hunt for and kill the last Justiciar.
As far as other consequences, I think head canon is the answer. I actually like the way Larian did it with general patrons because it allows the player to role play more freely.
