Slipstreaming - is there a penalty? When a following vehicle slipstreams close to a vehicle in front, by placing itself in a region of air moving at a similar velocity to the front vehicle, it is afforded a benefit, e.g. improved fuel efficiency.
Do the effects from this action introduce any type of inefficiency/penalty to the front vehicle?
 A: The opposite seems to be true.
There was, or maybe still is, a company that was looking into designing a system that allowed two semi trucks to "link" to each other (basically the truck in back had its braking and acceleration controlled by the truck in the lead -- this allows for a much closer follow distance and for the trucker in the back to have autonomous driving).  In testing both trucks reportedly saw a benefit - the lead truck got about a 5% boost to fuel efficiency and the slipstreaming truck got about a 10-15% boost.
https://ensia.com/notable/linking-semi-trucks-can-result-in-huge-fuel-savings/
Edit:
I would assume the physics for the lead truck are similar to adding the rear flaps that are becoming more and more common:
https://slate.com/culture/2013/04/truck-panels-what-do-they-do-explained-photos.html
A: For cycling, there doesn't seem to be a penalty, but even a small advantage to the rider in front of a group. Computational fluid dynamics simulations and wind tunnel testing have shown air resistance values of riders in a group compared to an isolated rider. This image shows interesting results:

I don't understand the details well enough to explain these results properly, but the paper is pretty good in my opinion.
All from the paper "Aerodynamic drag in cycling pelotons: New insights by CFD simulation and wind tunnel testing" from Blocken et al. (Open access article)
A: To a certain extent, this depends on the aerodynamic design of the vehicles.  But for a simple "boxy" shape, both the lead and trail vehicles could gain an advantage.
The rearmost vehicle would create significant turbulence behind.  This will form a low-pressure region that contributes to drag.  If another vehicle occupied that space, the turbulence and the low-pressure region are reduced.
A: The answers by Jeroen and eps show evidence that there is no penalty, but instead a benefit to the lead vehicle. Let me explain intuitively what is happening.
The drag on a moving vehicle has two components - a pushing force from high-pressure air in front of the vehicle, and a pulling force from the low-pressure wake (slipstream) behind it. What happens during a drafting maneuver is that the trailing car enters the wake in front of it, reducing the pressure on its bumper. This uses the low pressure slipstream area behind the leading car, but does not create it - the wake dragging on the leading vehicle (and possibly pulling the trailing one) exists regardless. 
On the contrary, the trailing car also pushes air in front of it, to slightly increase the pressure in between the vehicles and benefit the leading car. The high-pressure area in front of a vehicle does not extend nearly as far as its low-pressure slipstream, so this "pushing" effect is much smaller. Effectively, the aerodynamic losses due to turbulence between the two cars are greatly reduced when they are close together, and the conserved energy is distributed between them.
Some additional information on the maneuver: Drafting (aerodynamics)
Interesting side-note: The wake of the leading car is not always beneficial, if it contains too much turbulence and the trailing car needs laminar flow for downforce, see this Quora answer
