I don't think penalties should be reviewable, except for things like illegal touching or offsides types of things that are black and white.
While on the topic of replays, they really need to make two major changes in my opinion. They need to conduct replays more like the NHL, and take the judgment away from the on field refs, because that process takes way too long. Also, I hate how a coach can't challenge inside two minutes. I understand that a major reason for that rule is so that they don't turn into extended timeouts, but an NHL style replay system could fix that issue. There could be other conditions on it, too. Like if a team has both of their challenges remaining or had won both of them in the game, they can use one inside the tmw.