If they'd take any penalties, they can pretty much kiss the WDC good bye, as that will definitely mean they will lose more points to Hamilton. With the gap already being at 40 with 6 races remaining, another increase of that gap with one less race remaining means that they [Vettel] can no longer win the WDC completely unaided (unless Hamilton/Mercedes make a mistake).
I.e. assuming the gap remains at 40 post Socchi but with 5 races remaining, means that Vettel would have to, on average, decrease the gap by at least 8 points with every race remaining. In other words, winning every race with Lewis coming 2nd would no longer be enough. If the point gap increases to 51 points with 5 races remaining, Hamilton could afford to come 3rd to every win.
So taking a new engine would be indeed very risky. What I could see them do, is perhaps sacrifice Kimi to use the spec4 engine (if it indeed exists and offers a substantial advantage) and use him to help Vettel?
Not for nothing, Rosberg's Championship is the only thing that lends credibility to Hamilton's recent success. Otherwise, he'd just be the guy who's had the best car. — bhall II