Am I hurting my Utility by using a Third Party Supplier - Will my Utility penalize me for switching?

Not at all.  Because of deregulation law enacted in 1999 in New Jersey, your Utility no longer makes money from the electricity it generates.  It does, however, make money from the delivery of electricity to your home or non-residential account.  In effect, your utility company serves as the delivery company for your electricity.  You will not be penalized in any way or moved to lower priority status for service when you select a Third Party Supplier and/or participate in Government Energy Aggregation.