One of the players is a level 5 Avenger with Sehanine as his deity.
Would changing his deity or acting against its "laws" result in him getting punished by Sehanine, and if yes how?
Sehanine is a Goddess that urges her followers to follow their own path in life, regardless of other people's sense of duty and moral, and she is the Goddess of love. How a God/Goddess will react to a character's change, depends on a lot of factors actually: You should take the following into consideration:
How important is your player to the Goddess and why. How the current relationship is between Sheanine and your player at the moment. What path and God the player has chosen to follow instead. (There is a difference between choosing Lolth or Pelor as a new God. Sheanine and Lolth have been at each other's throats for a long time.) It also depends on the tier. The higher level your player is, the closer to the gods they will be. (The party will typically work for commoners on heroic tier, Kings and other state leaders at paragon tier, and for and against Gods at epic tier, trying to save the grand Scheme of things.)
There is many different ways to react to the change in a chosen God, other than punishment and reward. Perhaps the trees will start crying autumn leaves in the middle of the summer. Perhaps the player get a feeling of deep relief because Sehanine foresaw the change. Perhaps the player will start having different dreams of a silver lady crying each night, until the player confronts his/her decision, and takes responsibility for his actions.
It's very important to allow your players to make such changes without you as a DM doing anything that will make a player regret how he choose to play his character, but at the same time, the players need to experience the consequences of the actions he makes. That way your players will feel that it actually matters what decision they make.
If you want to learn more basics about the gods you can read about good and unaligned gods in Players handbook page 21-22 and evil gods on page 23. The more advanced description of the evil gods is written in Dungeon Masters Guide.
The Alignment Scale and D&D 4e
Its important to note that Alignment was at the time of 4e's development a sacred cow. Now less so, but it was included because it was seen as a necessary part of a "D&D" game and they were trying to sell an edition to a player/fanbase who were already skeptical of design changes.
While choosing your character alignment is on the character sheet and part of the builder process for selecting your deity (especially for Divine Power characters), it has little to no consequence on the game at all in 4e. Beyond being a prereq for a few paragon paths, feats, as well as the Blackguard's damage feature and the already noted Deity selection it is not even referenced in the rest of the rules.
As such I regularly tell players to ignore alignment as far as their characters go and as far as mechanics go as well. Regardless you should not mechanically punish the player.
Mechanically, the big thing to keep in mind is that in 4e, deities can't strip casters of their powers. Sehanine may choose to punish him in other ways, but he will still be a cleric.
The rest is largely flavor. Sehanine is relatively easygoing, as gods go, so if he stays relatively close to Sehanine's ethos and doesn't actually make war on the faith, she may even let him part ways amicably. Her church will probably still grumble about it even if she doesn't, but that's more a matter of NPC reactions than mechanical repercussions.
If the goddess does choose to punish him herself, I'd still keep it relatively light: random minor curses at inopportune times and such. You don't want to make stuff like this too heavy, or it stops being fun. Gods do not tend to be very mature, at least by human standards, when they are not getting their way, but this means you can afford to be funny.