I knew this sounded too much like the "already finished rover" wasn't actually finished, which is a very reasonable explanation for not sending it yet.

That seems like the key point!

Assuming this is the case, is there some kind of meaningful penalty for a contractor blowing up an entire mission like that?

I mean... beyond just not getting another contract?

Unless they're very small, they'll still win other contracts. Failure is always an option for companies in the defense sector (NASA being defense adjacent, their contractors are almost all also defense contractors).