I always assumed that magical abilities were implicitly driven by physical effects off-screen. So when you're teleporting somewhere with a lot more potential energy, the process of teleporting requires more energy to drive it, which comes from somewhere else (e.g. asteroid nudged closer to the Sun, or Earth's core cooling slightly). Like magic as told by Terry Pratchett, where the magic user is described as a fulcrum around which energy transfers. So maybe superheroes can teleport wherever they like, and it's still amazingly useful, but they are not making free energy.