currently grinding out Venthyr on the warrior to get that armor set…once I’ve gotten all the pieces can I leave that covenant and start a different one to get different set without losing the armor set earned from venthyr?
No, I believe you will lose access to everything in that Covenant if you switch on the same character. I currently have an alt plate and cloth wearer in Venthyr and buy the renown pieces for my other classes but if you want the campaign and special pieces those are tied to specific covenant activities and missions to the character and armor type
If you reach renown 80 with a covenant, all of your characters with the same armor type (or all if cosmetic) can use covenant rewards you’ve unlocked without needing to be in the covenant. I think there are a few items that are still reputation bound, like specific backpieces, but I don’t know if that is a bug or not.
So, you need to reach renown 80 with Venthyr on your warrior to use the set regardless of covenant affiliation.
I found a couple support articles with more details: