“…in every kind of chemical change no loss of matter occurs […] in all the varied modes of physical change, no loss of energy takes place.” -Sir Henry Enfield Roscoe
Yet in General Relativity, no strict definition of energy exists. So when the Universe expands, the photons within it get redshifted, which means they lose energy. Yet there’s no discernible location which gains a commensurate amount of energy. Is it truly lost? Is energy not conserved? The answer, as best as we can determine it, lies in the physics of the expanding Universe.