I came across a sentence in a book on General
Relativity, "a photon loses energy in an
expanding Universe but it loses it to nowhere
in particular". So your valued belief in
conservation of energy must be thought of as
a pokey, parochial concept

I have always felt you cannot distinguish
between doppler and cosmological redshift, it
is a matter of faith. Perhaps it helps to
think of the photon being unchanged until it
gets to our telescopes when it finds they are
receding dammed fast.